). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for … absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term … structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets …

mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

neighbor-Net phylogenetic networks alone rarely produced statistically significant reduction in risk, though in four out of the … five cases in which it did so, the portfolios selected using the phylogenetic networks had the lowest risk. However, we …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

, interest in risk based investing has grown steadily in the recent post-crisis years as investors seek to overcome the … paper compares some risk-based indexation methodologies, where risk parity takes an important role, and illustrates these … years of data, we show that risk parity portfolios outperform all the underlying portfolios on an absolute and risk adjusted …