This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk … neutral and risk averse. For Value-at-Risk, we show that the optimal solution does not change with the type of decision maker …. However, this observation is not true for Conditional-Value-at-Risk. We then show for Conditional-Value-at-Risk that the …

and bonds; the model features various time-varying global macroeconomic uncertainties and risk aversion of a global … negative) to the global risk aversion shock can explain the observed comovement differences. Global risk aversion explains 90 …

managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these …

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global … investor risk taking behavior. Our high-frequency RORO index captures time-varying investor risk appetite across multiple … dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits …