very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

minus beta" is a good method to build a factor portfolio which is efficient in absolute risk return space …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

theory, despite this, it is the CAPM beta that is the most common tool for integrating the risk factor into financial models …) is associated with a certain level of risk. An effective mechanism in the context of leveling investment risks can be an … cash flow valuation is one of the most common and reliable. The beta coefficient as a measure of market risk is of …

In this article, we consider a new framework to understand risk-based portfolios (GMV, EW, ERC and MDP). This framework …, tracking error and risk diversification. In particular, we show that the smart beta portfolios differ because they implicitly … volatility reduction and show that they present appealing properties compared with the traditional risk-based portfolios …