This paper empirically investigates the financial performance of asset allocation strategies
under “sustainable” risk preferences and conventional risk preferences. We assume that …

We study the options-implied market risks that affect US-European stock-return correlations
during 2007–2021. We discover that US stock-and bond-market uncertainty, stock-market …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

Diversified banks (ie financial conglomerates) trade often at a discount compared to
matched portfolios of specialized stand-alone banks. The existing research explains this …

I study the options‐implied market risks that affect US stock–bond correlations from 2007 to
2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global …

Skewness risk premium is the difference between realized skewness and implied skewness.
This paper provides empirical evidence of the predictive power of skewness risk premium for …

This paper provides new evidence on the pricing of market skewness risk by incorporating
investor sentiment in the relation between sensitivity to innovations in implied market …

We consider a joint distribution that decomposes asset returns into two independent
components: an elliptical innovation (Gaussian) and a systematic non-elliptical latent …

The present study is aimed to examine the effect of different levels of investor sentiment on
current and future equity returns at different time horizons in the presence of market volatility …

Reconstructing the risk-neutral density (RND) of an underlying asset has been extensively
studied using market-observed European option prices. However, the literature on …