utility, which has two key features. First, intertemporal substitution and risk aversion are disentangled. Second, the … increases the implied equity premium because inattentive investors with recursive utility face greater long-run risk and thus …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk … measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the … specification and estimation uncertainty. We propose a general adjustment of the Value-at-Risk to compute risk measures robust to …

available for serving system demand. While the classical peak load pricing theory derives the efficient portfolio structure from …‐variance portfolio (MVP) theory and analytically discuss possible solution cases and important optimality properties. We examine the … impacted by a risk for reversals in the merit order. Therefore, our findings support the importance of considering this risk …

We study the effect on savings of an increase in the capital risk of the investment opportunities when the … individuals with high risk-aversion and time-separable, power utility increase their optimal savings when capital risk increases …

Should you buy a stock or a corporate bond? A common belief is that the Pratt-Arrow risk aversion measure gives the … answer: a more risk averse investor will prefer more a corporate bond to a stock. However, this is not always true. In a … simple portfolio problem with a riskless bond, a stock and a corporate bond from a firm, we show that, it is not the risk …

it ought to remain the universal numeraire by which sizes and risk-return performances of international reserves and … a normative case may be for optimising the sovereign portfolio's currency allocation (benchmark) against risk …

This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …