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

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The …

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. …

and then illustrate this relationship, firstly in a classical value at risk approach, secondly in the determination of the … risk contributions of a portfolio. We see profound differences that should not lead to the rapprochement of the volatility …

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the … Sharpe ratio and reduce drawdowns. We apply inter-temporal risk parity strategies to factor investing, namely value and …

In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for … absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene …

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

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 …

about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …