to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that …

We investigate the relation between the risk premia observed in forward foreign exchange markets and international … agents' intertemporal marginal rate of substitution then the time variation in forward risk premia should be explained by the … forward contract's sensitivity to the equity portfolios and the time variation in the risk premia of those portfolios. We find …

Investment managers require a consistent asset pricing model, asset allocation recommendations and risk …, and maximize risk-adjusted returns as opposed to expected utility) provides recommendations on the three facets that are … paper briefly surveys the literature on MPT, GBI, and agency before providing a normative Goals- and Risk-Based Asset …

among the factor risk premium estimates, given the market's level of risk aversion. In contrast, an ex post version is … “unrestricted”, because the factor risk premium estimates are based on historical returns. The ex ante version explains the implied …

pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the … behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a … questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be …

homogeneous expectations regarding risk return characteristics and different market microstructure. …