Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational … the (negative) generalised CE, which always satisfies the properties of a monetary risk measure for a large class of …

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 …