increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

the magnitude of the optimal paygo program and the nature of the underlying risk sharing effects are very sensitive to the … chosen combination of risk concepts and stochastic specification of long run aggregate wage income growth. In an additive way … we distinguish between the pooling of wage and capital risks within periods and two different intertemporal risk sharing …

Under conditions of risk it makes a difference whether the discount rate is determined as an expected present or as an …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …