We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on … this paper. It proved to be successful in extensive historical and real-time experiments. Momentum risk-taking is one of …

Model, to identify the risk factors discussed in 10-Ks. We apply this algorithm to a US REIT sample between 2005 and 2019 to … assess whether the probability of appearance of the extracted risk factors helps to explain the perceived risk on the stock … market. We find that the majority of risk factors is significantly associated with volatility indicating that our machine …

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a … market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management …