We combine risk-neutral densities from equity index options with realized index returns to estimate the market's risk aversion. Starting from a power utility framework with constant risk aversion, we extend it by more flexible stochastic discount factors. We allow for time-varying risk aversion...

We study the relationship between coskewness and realized returns of United States banks between 2003 and 2020 by analyzing different subperiods. We find that during the Global Financial Crisis of 2007-2009 and the COVID-19 pandemic of February-December 2020 the returns earned by banks are...

We investigate the diversification benefits of combining commodities with a traditional equity portfolio, while considering higher order statistical moments and seasonality. The literature suggests that the in-sample diversification benefits of commodities in portfolio optimization are not...

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial optimization. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...

he aim of this paper is to evaluate the performance of inflation forecasts backed out from the nominal and real yield curves in the United Kingdom. We use the Nelson-Siegel (NS) framework to model the break-even inflation term structure, and we also consider the one-day break-even inflation...