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 …

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 …

manipulation of aggregate risk, we separately test the price and choice implications of our theory. Consistent with our theory, we … of price-sensitive agents increases when there is no aggregate risk, and iii) price-insensitive agents tend to trade to … more balanced portfolios when there is aggregate risk …

direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are …