Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 …

across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains … that, while systemic risk affects the allocation of wealth between the riskless and risky assets, it has a small effect on … international diversification – for an investor with a relative risk aversion of 3 and a horizon of one year, the certainty …

exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We … volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States …