, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

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 …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for … absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene …

-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap … properly. We also find that the ESFs manager's risk aversion can over-turn the risk-shifting incentives when the fund is likely … management (AUM) are nearing the prescribed cash-out boundary. We find that it is more likely for a more risk-averse ESF manager …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk … that not all risk statistics should be included in the model when establishing an investment strategy. Lastly, we … statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive …) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 … of idiosyncratic risk from the alternative models and throughout different periods …