underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

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 …