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 …

and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

financial returns data and is used for the univariate fits, but its convolutions, necessary for portfolio risk calculations, are … computationally cheap and extremely accurate - most notably in the tail, which is crucial for risk calculations. A simulation study …

studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …

We develop a new test for threshold-type regime changes in the risk exposures in portfolios with a large number of …