divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …

risk aversion, hedging horizon and expected returns. Empirical results reveal substantial hedge ratio variation across … to be strongly dependent on underlying preferences. In particular, hedgers with high risk aversion and short horizon … reduce hedge portfolio risk but achieve inferior utility in comparison to those with low aversion …

We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of … stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also … dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and …

distribution of fund returns, we combine the funds data with the Heston stochastic volatility model, risk premium transformation … account for risk asymmetry. The optimized portfolio provides significant performance gains. After accounting for risk and …

period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as … opportunity is associated with sharply higher levels of investment risk …

uncover a marked and near ubiquitous decline in diversification, which coincides with sharply higher levels of investment risk … asset class and geographic diversification of investment risk in an increasingly flat world …

We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor …, volatility timing, and reward-to-risk timing strategies). We find that, for all portfolio strategies, commodity and currency … futures do not improve the risk-return trade-off of an investor with an existing portfolio of traditional assets (stocks and …