's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

derivatives to reduce their financial distress risk and that this distress risk has a systematic component that is priced in the …

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for … other asset classes, such as the risk neutral diffusion models used for equity, currency and commodity options derived from …

risk. They are of increasing importance in financial accounting, including the valuation of goodwill and other intangibles … the firm, this paper proposes an alternative accounting based approach: accounting based risk measurement (ABRM …). Alternatives to beta are computed from planning and budgeting metrics at firm level to produce consistent risk estimates factoring …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …