-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility …, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the …-amplitude distribution in volatility for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role …

main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …