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 …

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In … innovation is the use of a set of predictors that account for variation in risk prices across (segmented) markets. These … competing methods (including those that assume homogeneous risk prices) when applied to domestic and international data -- a …

portfolio models with direct transaction and market impact costs. In particular, we propose a risk-neutral portfolio selection … portfolio selection problems with market impact costs tested and much faster on the instance of risk-neutral multistage …

risk premium, and has a similar effect compared to positive skewness or upper partial moment.The empirical results in our …

This work presents a new convex risk measure that we call negative quadratic skewness that is an approximation of the … negative component of portfolio skewness. This risk measure allows us to increase portfolio skew- ness through the minimization …

climate mitigation, and the direction of the risk is identified through manual labels. The documented risk premium indicates …