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Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Persistent link: https://www.econbiz.de/10011293745

The role of financial conditions in portfolio choices : the case of insurers

Ge, Shan; Weisbach, Michael S. - 2019

Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...

Persistent link: https://www.econbiz.de/10012104637

Marriage and managers' attitudes to risk

Roussanov, Nikolai; Savor, Pavel - In: Management science : journal of the Institute for … 60 (2014) 10, pp. 2496-2508

Persistent link: https://www.econbiz.de/10010461869

A simple GDP-based model for public investments at risk

Lapeyre, Bernard; Quinet, Emile - In: Journal of benefit-cost analysis : JBCA 8 (2017) 1, pp. 91-114

Persistent link: https://www.econbiz.de/10011664593

Tradeoffs for downside risk-averse decision-makers and the self-protection decision

Denuit, Michel; Eeckhoudt, Louis R.; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10011447270

The possibilities and consequences of investment decisions by stepwise optimization

Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

Persistent link: https://www.econbiz.de/10014374968

Estimating sentiment and risk in a consumption model : a factor analysis approach

Bouaddi, Mohammed; Kakeu, Johnson - In: Macroeconomic dynamics 28 (2024) 1, pp. 249-275

Persistent link: https://www.econbiz.de/10014465391

Rethinking risk

Estrada, Javier - In: The journal of asset management 15 (2014) 4, pp. 239-259

Persistent link: https://www.econbiz.de/10010476241

Leverage and uncertainty

Turlakov, Mihail - In: The journal of investment strategies 6 (2017) 4, pp. 81-97

Persistent link: https://www.econbiz.de/10011771264

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

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