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 …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process …. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions … after receiving outcome information on previous decisions. We find that in all decisions risk taking can be predicted by …

Using trading data from a sports-wagering market, we estimate individuals' dynamic risk preferences within the prospect …

tests of performance suffer from the look-ahead benchmark bias, when they use the assets constituting the benchmarks of …-ahead benchmark bias can exhibit a surprisingly large amplitude for portfolios of common stocks (up to 8% annum for the Samp;P500 … running top 500 US capitalizations to demonstrate that this bias can account for a gross overestimation of performance metrics …

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