Investors trade-off risks and rewards when making financial decisions. A difficulty in this process is that not all risks are rewarded equally at all times. Therefore, an investor may benefit from understanding the drivers of the time variation of the risks to which he is exposed such that he can optimize his risk taking behavior. In this thesis, I focus on the time variation of financial risk from three perspectives. In Chapter One, I introduce a dynamic allocation approach to exploit the time variation in the risk-return trade-off of different equity portfolios. In Chapter Two, I study the impact of the equity portfolio choice, and thus their risk and return characteristics, on the performance of portfolio insurance strategies. In Chapter Three, I focus on the time variation in a firm’s sensitivity to changes in the foreign exchange rate which I relate to macroeconomic announcements. Overall, the thesis provides insights to investors, portfolio managers and corporate risk managers which help them to adequately evaluate and exploit the impact of time variation in financial risks.