This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using … a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common … ranking models based upon factor weights that vary with their conditional (on risk) forecasted returns are superior to … processes rely upon objective and well-defined relationships between factor returns and risk, hence justifying our title - risk …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

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 …