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 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 …

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

This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both … macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …