This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …

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

primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the … high as the fee she is willing to pay to benefit from volatility timing. Many tests of robustness are performed, yet, the …

result is that wealthcan be grown from volatility.[...] …

size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that … rate, and multiplied by the aggregate risk aversion. The stockprice volatility is equal to the market price of DDV plus a …We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary …

exhibit relatively high proportions of unsystematic risk in outstandingly negative market climates, and vice versa. Thus the …

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …