It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters … for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both … non-constant and important for returns. We reconsider therefore the relationship between primary commodities, risk and …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

risk and returns from a financial as well as a social impact perspective have so far been used in various fashions, thus … risk and increases sustainability. In addition, more and more investors demand ESG factors to be considered when it comes …

Arbitrage pricing model (APT) is one of the models that describe risk of investment on the capital market. The model … sources of the systematic risk of investment and which influence the behaviour of the rates of returns of funds portfolios …

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 …

stock exchanges by studying the evolution of the unitized risk values for real rates of return during the 1950-2012 time-period …