This article aims to build through the collection of inputs from prior research, regulatory input and practitioner's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept: (1) risk is the potential that events may have an...

We conduct a two-phase laboratory experiment, separated by several weeks. In the first phase, we conduct urn games intended to measure ambiguity aversion on a representative population of undergraduate students. In the second phase, we invite the students back with four different solicitation...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...

This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dp, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of the dividend-price ratio from this slowly evolving long-run component explain transitory but persistent...

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

This study investigates the utility of business uncertainty indicators as predictive tools for forecasting economic activity in the context of Russia. In an era characterized by global economic volatility and geopolitical shifts, understanding the dynamics of economic uncertainty and its impact...

This paper examines point and density forecasts from the European Central Bank’s Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...

The combination of last year’s large sell-off in the financial markets, a challenging macroeconomic environment, and heightened volatility has led institutional investors to reassess their strategic asset allocation. Guiding these reassessments is the central question of how best to fulfill...

This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...