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

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of … situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …