We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

that many of the global predictors have a weak explanatory power when they are individually regressed against the world …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium … (VRP), Generalized Riskiness (GR), and higher-order moments for horizons ranging from 1 to 250 days. These four risk … complementary predictors for several horizons, including under one month (VRP) and longer horizons (GR). Risk-neutral skewness and …