consistently outperform the 1/N naive diversification strategy, which highlights estimation-risk concerns. Building from Stevens … mitigating estimation risk. Using five different data sets of disaggregate portfolio returns over the 1926-2012 period, we find …

We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk … declining popularity. For reasonable parameter values, our model matches key empirical patterns including pension's risk … allocation and the relations among pension investment risk, corporate bankruptcy probability, and pension funding. Further, we …

develop the methodology to predict, dissect and interpret the h-day financial risk in data-driven portfolios. Our risk … budgeting approach is based on a flexible risk factor model that accommodates the dynamics in portfolio composition directly … within the risk factors. Once these factors are defined, we cast portfolio risk measures, such as value-at-risk, into an …

This paper investigates the mean-variance and diversification properties of risk-based strategies performed on style or … basis portfolios. We show that the performance of these risk strategies is improved when performed on portfolios sorted on …

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts … holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation … cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal …

bear markets and crashes. Thus, it was indeed a good measure of the hedge against market risk. This plain beta also …-beta. Stocks with higher ex-ante down-betas did not earn a positive risk premium. We conclude that ex-ante down-betas were neither … useful hedging nor useful risk-pricing measures …

income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data … risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor …

Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy … risk. We find that, without jump ambiguity, a CRRA investor suffers negligible wealth losses from underestimating tail risk …

We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation … how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …