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 …

tail risk. The impact of the misalignment across the different dimensions of the ESG score is distinct from that of ESG … score level itself. Aggregate downside risk bears a negative price for firms with low ESG disparity. …

optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally … select her risk aversion parameter in response to the uncertainty that she faces. Choosing a lower level of risk aversion … comes at a cognitive cost, and therefore is only undertaken in response to sufficiently large risk exposure. In addition to …