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 …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making … investment decisions, which is an extension of the earlier findings of Teo (2011) for hedge funds …

We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

hourly output and hourly revenue risk-reducing benefits from the optimal choice of locational generation capacities is … and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …

markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as … flows between investment strategies on the cross-section of their performance. We find that the correlation between factor … performance and the cyclical nature of risk premia can be explained by capital flows. The CAPM with a non-mean-variance investor …

fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk … overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational …