risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

level of risk. The performance of pension funds is often measured by their global asset returns because of the latter … risk level given their social security (and not speculative) function. We describe the process of the global asset return … carried out to balance the asset composition when the established local degree of risk is exceeded. The application is carried …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

transferring credit risk between two parties of debt instruments. In addition, the paper investigates how to effectively manage … downside risk using conditional value-at-risk (CVaR) when the aforementioned three asset classes are considered. We find that … sets and reduce the downside risk of diversified portfolios …