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State dependence in fundamentals and preferences explains risk-aversion puzzle

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On portfolio separation theorems with heterogeneous beliefs and attitudes towards risk

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The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

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Identifying the volatility risk price through the leverage effect

Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024

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Identification of beliefs in the presence of disaster risk and misspecification

Chaudhuri, Saraswata; Renault, Eric; Wahlstrom, Oscar - In: Essays in honor of Joon Y. Park : econometric …, (pp. 261-290). 2023

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The long and the short of the risk-return trade-off

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Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

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Comment on: nonparametric tail risk, stock returns, and the macroeconomy

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Comment on: nonparametric tail risk, stock returns, and the macroeconomy

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Comment on: nonparametric tail risk, stock returns, and the macroeconomy

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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

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