patterns, such as the size of market risk premium, level of interest rate, degree of dividend yield predictability, and the … term structure of variance risk premiums, of both the equity and option data …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term …

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta …-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk … component significantly outperform those with a low risk component. The risk-based option momentum strategy is highly profitable …

We show that the conditional risk estimation in the ICAPM model (Merton, 1973) should contain the unspanned uncertainty … significant risk-return tradeoff in both aggregated market and stock cross-section, in both short and long run, and both in and …-investment portfolio buying stocks in the top unspanned risk decile and selling stocks in the bottom decile can generate a Fama …

For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new … portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the … estimation risk than alternative strategies proposed in the literature. In addition, the newly derived optimal combining strategy …