standard correlation-based definition of neutrality. Variance neutrality, Value-at-Risk neutrality and tail neutrality all … relate to the neutrality of the risk of the hedge fund to market risks. Finally, complete neutrality. corresponds to … one-quarter of these funds exhibit some significant exposure to market risk. …

allocation decisions in an out-of-sample setting. We consider the problem of a CRRA investor allocating wealth between the risk … performance measures and levels of risk aversion our results suggest that capturing skewness and asymmetric dependence leads to …

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce … similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be …

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …

even after controlling for investment, size, book-to-market and momentum as well as other known predictors of stock returns … forward looking in nature and thus informative about the firms’ expectations about future cash-flows and risk …-adjusted discount rates. The model implies that the investment rate and the hiring rate predicts stock returns because these variables …