We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale …

pessimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. Bulls and bears …

We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear …

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

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 …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

volatility jump diffusion model …

-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a … systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results …

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …