The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

hourly output and hourly revenue risk-reducing benefits from the optimal choice of locational generation capacities is … and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …

fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …

an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What … matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias …

framework to solve jointly for investment and information choices, with a variety of preferences and information cost functions …

risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

The effect of uninsured labor income risk on the joint saving/portfolio composition decision is analyzed using new … techniques from the theory of multiple risk-bearing. Applying this analysis, the effect of labor income taxes on the demand for …

values and optimal investment decisions. The method is quite general, and is illustrated both analytically and numerically …, on mine values and investment decisions. Although the tax policies are found to have the expected effects on asset values …, the effects on investment decisions are sometimes perverse. An increase in the income tax rate may encourage investment …