Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

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 …

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of … expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular … investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …