Contrary to the intuition that the standard risk-return tradeoff should lead to underperformance of a portfolio that scales down exposure during volatile periods a recent paper by Moreira and Muir (2017) actually shows that volatility-managed portfolios produce robust and significant alphas. The...

The volatility-managed portfolio (VMP) offers an appealing market-timing strategy (Moreira and Muir, Journal of Finance, 2017). Unfortunately, an important theoretical result for VMP and the foundation of the paper's empirical study, namely the arbitrariness of the constant c in the portfolio...

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

We study an investment experiment with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable external...

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 observed volatility of private equity returns is...

Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir...

We investigate whether employing individual commodity futures provides a superior optimized risk-return strategy relative to an equity portfolio, in spite of recently increasing correlations between commodity and equity markets. We first construct Markowitz mean-variance optimized portfolios of...

We conduct a novel survey of 2,548 nationally representative U.S. respondents to estimate subjective risk-return trade-offs in savings, government bonds, stocks, real estate, gold, and cryptocurrencies. We document a robust negative relationship between respondents’ perceptions of the risk and...

Financial globalisation has been associated with divergent current account patterns inemerging market economies. While countries in emerging Asia have been runningsizeable current account surpluses, countries in emerging Europe have been facing largecurrent account deficits. In this paper we...

A growing strand of literature highlights that skilled migration mayfavour growth-enhancing technology transfer, trade and foreign direct in-vestments between the source and the host economies of migrants (net-work effects). We explore a speci…c channel through which the possi-ble "diaspora...