investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …

mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …