We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale …

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the … background wealth as well as across risky outcomes: Risk aversion is similar whenever similar degrees of narrow framing is … assumed in either setting. Risk aversion, narrow framing, background wealth, laboratory experiments, market studies, equity …

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 …

equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price … of DDV plus a volatility risk premium. In particular, stock price volatility is larger than the dividend volatility if …

main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility … heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study …

risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …