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 …

equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price … of DDV plus a volatility risk premium. In particular, stock price volatility is larger than the dividend volatility if …

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …

comparative analysis of risk aversion and ambiguity aversion. The perception of ambiguity is described by a hidden Markovian … premium and risk free rate and can generate asset-price stylized facts like a procyclical price-dividend ratio and …