We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant … level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe … ratio remains constant over time, the only benefit would arise from an inter-temporal risk diversification effect which is …

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy … investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk …

mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the … fund — where risk includes volatility of returns plus drawdown — while earning a positive return. A dynamic beta program … implemented through an overlay and customized to each investor's needs can help manage portfolio risk from an asset …

.g., Profitability and Investment) perform particularly well when traditional portfolios (e.g., 60/40 or risk parity portfolios) exhibit …

When systematic risk is high, or the market crashes, most risk-averse investors choose to exit the market; however … investors' expectations of government policies into the conventional risk-return trade-off framework. We show that when policy … risk is expected to be low and the market has a high probability to recover, subsequent to the government's intervention …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …