-horizon investor with constant relative risk aversion preferences. In a horse race in which models are not considered in their … individuality but instead as an overall class, we find that a power utility investor with a constant coefficient of relative risk …

higher risk-adjusted out-of-sample performance than a simple buy-and-hold investment in the real estate market (proxied by …-only portfolios display risk-adjusted performances comparable to those of diversified portfolios that include equity, bond, and …

-horizon portfolio performances that may compete with those typical of bull and bear models. A typical investor with intermediate risk …

-horizon investor with constant relative risk aversion preferences. In a horse race in which models are not considered in their … individuality but instead as an overall class, we find that a power utility investor with a constant coefficient of relative risk …

-horizon investor with constant relative risk aversion preferences. In a horse race in which models are not considered in their … individuality but instead as an overal class, we find that a power utility investor with a constant coefficient of relative risk …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …

investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion …

market risk factors (namely, the six Fama French factors), to precious metal commodity returns, and to cryptocurrency …-specific risk-factors (namely, crypto-momentum, a sentiment index based on Google searches, and supply factors, i.e., electricity …