gambles over lifetime income in the Health and Retirement Study to quantify changes in risk tolerance over time and … 12,000 respondents in the 1992-2002 HRS. The results support constant relative risk aversion and career selection on … preferences. While risk tolerance changes with age and macroeconomic conditions, persistent differences across individuals account …

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk … matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of …

performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk. … presence of deviations from purchasing power parity (II-CAPM [PPP]). He finds evidence in favor of at least mild segmentation … of international equity markets in which only global market risk appears to be priced. When using the Hansen …

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …