Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

We consider time series models in which the conditional mean of the response variable given the past depends on latent … the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

agents in a stylized market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying … utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In … particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these …

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and … asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … 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 …