focused on portfolio allocation and asset pricing and scholars interested in return forecasting, capital budgeting and risk …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance …

construct managed portfolios of a risk-free asset and market index. …

risk premia with implied returns, because estimation techniques with good performance results are hardly suited to describe …