size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that … rate, and multiplied by the aggregate risk aversion. The stockprice volatility is equal to the market price of DDV plus a …We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary …

estimates are consistent with blas´ behavior and counter-cyclical risk aversion. …

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread … measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective … find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for …

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …

financial risk. We first provide a complete transform analysis of this model class,which opens a range of new potential … stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility …

correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an …