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27
The CrossSection of Foreign Currency Risk Premia and consumption growth risk
 AMERICAN ECONOMIC REVIEW
, 2006
"... Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. Domestic investors earn negative excess returns on low interest r ..."
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Cited by 24 (4 self)
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Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. Domestic investors earn negative excess returns on low interest rate currency portfolios and positive excess returns on high interest rate currency portfolios. Because high interest rate currencies depreciate on average when domestic consumption growth is low and low interest rate currencies appreciate under the same conditions, low interest rate currencies provide domestic investors with a hedge against domestic aggregate consumption growth risk.
Public Pension Promises: How Big Are They and What Are They Worth?” Journal of Finance, forthcoming
, 2011
"... We calculate the present value of state employee pension liabilities using discount rates that reflect the risk of the payments from a taxpayer perspective. If benefits have the same default and recovery characteristics as state general obligation debt, the national total of promised liabilities bas ..."
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Cited by 16 (1 self)
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We calculate the present value of state employee pension liabilities using discount rates that reflect the risk of the payments from a taxpayer perspective. If benefits have the same default and recovery characteristics as state general obligation debt, the national total of promised liabilities based on current salary and service is $3.20 trillion. If pensions have higher priority than state debt, the value of liabilities is much larger. Using zerocoupon Treasury yields, which are defaultfree but contain other priced risks, promised liabilities are $4.43 trillion. Liabilities are even larger under broader concepts that account for salary growth and future service.
A Brief History of Market Efficiency
 European Financial Management
, 1998
"... Every finance professional employs the concept of market efficiency. The theory, evidence and counterevidence focus on a couple of dozen highly influential articles published during the twentieth century. We summarise the origins of and interlinkages between these contributions to the history of fin ..."
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Cited by 8 (0 self)
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Every finance professional employs the concept of market efficiency. The theory, evidence and counterevidence focus on a couple of dozen highly influential articles published during the twentieth century. We summarise the origins of and interlinkages between these contributions to the history of finance.
Geometric Mean Maximization: An Overlooked Portfolio Approach?
"... Academics and practitioners usually optimize portfolios on the basis of mean and variance. They set the goal of maximizing riskadjusted returns measured by the Sharpe ratio and thus determine their optimal exposures to the assets considered. However, there is an alternative criterion that has an eq ..."
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Cited by 1 (0 self)
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Academics and practitioners usually optimize portfolios on the basis of mean and variance. They set the goal of maximizing riskadjusted returns measured by the Sharpe ratio and thus determine their optimal exposures to the assets considered. However, there is an alternative criterion that has an equally plausible underlying idea; geometric mean maximization aims to maximize the growth of the capital invested, thus seeking to maximize terminal wealth. This criterion has several attractive properties and is easy to implement, and yet it does not seem to be very widely used by practitioners. The ultimate goal of this article is to explore potential empirical reasons that may explain why this is the case. The data, however, does not seem to suggest any clear answer, and, therefore, the question posed in the title remains largely unanswered: Are practitioners overlooking a useful criterion?
P&C RAROC: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry
"... is an engagement ..."
Arbitrage and Equilibrium With Exchangeable Risks
, 1999
"... In an economy with a non  atomic measure space of assets and exchange able risks, the Arbitrage Pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation. ..."
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In an economy with a non  atomic measure space of assets and exchange able risks, the Arbitrage Pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.
Performativity in Financial Economics
"... ABSTRACT This paper describes and analyses the history of the fundamental equation of modern financial economics: the BlackScholes (or BlackScholesMerton) option pricing equation. In that history, several themes of potentially general importance are revealed. First, the key mathematical work was ..."
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ABSTRACT This paper describes and analyses the history of the fundamental equation of modern financial economics: the BlackScholes (or BlackScholesMerton) option pricing equation. In that history, several themes of potentially general importance are revealed. First, the key mathematical work was not rulefollowing but bricolage, creative tinkering. Second, it was, however, bricolage guided by the goal of finding a solution to the problem of option pricing analogous to existing exemplary solutions, notably the Capital Asset Pricing Model, which had successfully been applied to stock prices. Third, the central strands of work on option pricing, although all recognizably ‘orthodox ’ economics, were not unitary. There was significant theoretical disagreement amongst the pioneers of option pricing theory; this disagreement, paradoxically, turns out to be a strength of the theory. Fourth, option pricing theory has been performative. Rather than simply describing a preexisting empirical state of affairs, it altered the world, in general in a way that made itself more true.
History of ValueatRisk:
, 2002
"... This working paper is being distributed to solicit comments, recollections and anecdotes from regulators and market participants who worked with VaR or related risk measures prior to 1993. Please forward any comments directly to the author. Topics of particular interest are: • early implementations ..."
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This working paper is being distributed to solicit comments, recollections and anecdotes from regulators and market participants who worked with VaR or related risk measures prior to 1993. Please forward any comments directly to the author. Topics of particular interest are: • early implementations of VaR or VaRlike measures in trading environments during the 1970’s or 1980’s; • the extent to which industry practice (existing risk measures used in trading environments) influenced the SEC’s Uniform Net Capital Rule, the SFA’s 1992 capital rule and Europe’s Capital Adequacy Directive; • early use (especially during the 1980’s) of names such as “valueatrisk”, “capitalatrisk ” and “dollarsatrisk”—which name arose first? • papers published prior to 1993 that mention or describe VaR measures.
Global Macro
, 2009
"... Professional investors today speak incessantly about beta, still treating beta as the cornerstone of investment portfolios that it should be, yet using the term in most instances in a manner that is devoid of the meaning and the insight that justifies that foundational treatment. The term beta is ro ..."
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Professional investors today speak incessantly about beta, still treating beta as the cornerstone of investment portfolios that it should be, yet using the term in most instances in a manner that is devoid of the meaning and the insight that justifies that foundational treatment. The term beta is routinely treated as synonymous with the term “asset class, ” and by treating it this way, the term is divorced from the concept of systematic risk, or nondiversifiable risk that made it important in the first place. By reuniting the term with its original meaning, we will come to see that there is much more to asset allocation, and much more to the principle of diversification, than simply “spreading” risk across different asset classes. Asset allocation should be approached more actively with intentions to shape and mold combinations of assets and asset classes