This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time … minimization of systematic risk via dynamic reallocations across asset classes at the cost of fund alpha and foregoing market … superior performance of low systematic risk funds previously documented arises due to the superior asset selection ability of …

among investors in their cognitive dimensions, which, in turn, can develop their risk-bearing potential to reach the optimum … level so that emotionally broken investors can use their cognitive abilities with their developed risk-absorption potential … to further invest in the market in the near future. This study investigates the mediating effect of risk …

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …

This paper studies the relationship between mutual fund manager investment horizons and managerial risk …-taking decisions. I find that in general mutual funds reporting longer maximum evaluation horizons have lower risk levels. The low risk … investment horizon and optimal risk taking is indeed negative for managers confident in their investment abilities. Overall, this …

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …