We generalize the concept of "systematic risk" to a broad class of
risk measures potentially accounting for high distribution moments,
downside risk, rare disasters, as well as other risk attributes. We offer
two different approaches. First is an equilibrium framework generalizing
the Capital Asset Pricing Model, two-fund separation, and
the security market line. Second is an axiomatic approach resulting
in a systematic risk measure as the unique solution to a risk allocation
problem. Both approaches lead to similar results extending the
traditional beta to capture multiple dimensions of risk. The results
lend themselves naturally to empirical investigation. (JEL D81, G11,
Kadan, Ohad, Fang Liu, and Suying Liu.
"Generalized Systematic Risk."
American Economic Journal: Microeconomics,
Criteria for Decision-Making under Risk and Uncertainty
Portfolio Choice; Investment Decisions
Asset Pricing; Trading volume; Bond Interest Rates