cash and investing in a diversified bond portfolio helps to enhance the global portfolio return …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

distribution of the return. Having estimated each fund’s efficiency in the sample we unveil their underlying dynamics, also with … respect to risk and operational characteristics such as flows, assets, and Morningstar star ratings. Panel-VAR estimations … reveal that the response of funds’ efficiency to a shock in risk is positive and substantial. Some evidence of reverse …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

sectors and one out of two U.K. sectors included in the analysis. The return volatilities generally do not differ …

self-directed online investors at a UK bank. The survey asks for return expectations, risk expectations, and risk tolerance …. The exception is a positive effect of increases in return expectation on buying activity. Portfolio risk levels and … changes are more systematically related to return and risk expectations. In line with financial theory, risk taking increases …

impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities …