asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …We explore how the demand for a risky asset can be decomposed into an investment effect and a hedging effect by all … risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency … factor of the model was developed to analyze the risk behavior of investors. The calculations of this newly tested model show … that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time …

attractive attracted under risk conditions. …

in each asset, e.g. because traders maximize an expected Constant Relative Risk Aversion utility with unitary coefficient … dependent fractions, e.g. they are derived from the maximization of expected Constant Relative Risk Aversion utility with non …

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and … Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …