captures the time varying nature of beta exposures that could be interpreted as a common factor with both SR (systematic risk …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We … performance. We find that idiosyncratic risk cannot be eliminated in UK mutual funds. We show that idiosyncratic risk is … risk significantly increases the number of funds showing statistically significant and positive selectivity skills (alpha …

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity … (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return … this paper is to develop a methodology to correctly determine the risk and return profiles of Private Equity funds given …

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …

risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very … widely applied to construct a portfolio and evaluate performance in terms of the investors’ loss aversion. Value-at-risk (VaR …) has emerged as an industry standard to analyze the market downside risk potential. The approaches used to measure VaR vary …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …