positions may generate positive risk-adjusted performance benefits. However, the volatility positions that can be managed and …We investigate the potential role of Exchange Traded Products (Notes) as vehicles to trade volatility (here proxied by …-of-sample benefits under all utility functions and for a range of assumptions on investors' risk aversion. Even though the turnover …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

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 …

-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach advocated by Fama and … MacBeth (1973). The second approach is based on a Bayesian approach to modelling the latent process followed by risk exposures … and idiosynchratic volatility. Our application to monthly, 1979-2008 U.S. data for stock, bond, and publicly traded real …

risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility …” (identified as the volatility of the scores over a period of time), measured around a given slope. We find that 1-month, short …

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 …

-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 …