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 …

, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross …This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the … performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …

robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that …This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain … the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …

. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not … by the realized return shock). Hence, both return and realized measure are included in the return volatility equation …

Does performance volatility enable organizations to increase their rank relative to their rivals? While prior research … has argued that rankings are derived from organizations’ realized (past) performance, under quality uncertainty …, volatility could also confer advantages for increasing rank. These advantages arise because having similar performance as rivals …

Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they … have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The …

borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries …We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of …