Current theories of the discount rate have a theoretical basis focused on risk; risk-free rate and risk premium. The … basic component of the discount rate, the risk-free rate as purely empirical has a natural infirmity which consequently … weakens the final theory. Similarly, the risk premium category is not theoretically perfect. The fundamental shortcoming is …

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 …