This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard … that have precise risk premia earns an OOS average monthly return of 3.61% (2.21%). In contrast, the conventional high … financial shocks. In the cross-section, the level and precision of risk premia are correlated, thus NN-based investments deliver …

factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions …

In this paper, the authors construct a pipeline to benchmark Hierarchical Risk Parity (HRP) relative to Equal Risk …

specifications based on Expected Utility Theory and theory drawn from behavioural finance. We assess whether machine learning can … findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

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 …

setting the allocations, result in higher risk-return ratio …

of traditional finance theory. Even after controlling for market segmentation and “investability” of foreign markets … market uncertainty. My empirical hypotheses are based on a psychological theory that relates uncertainty in the markets to … increases in investors' risk aversion which in turn increases investors' proneness to familiarity bias. I hypothesize that …

In this article, the authors conduct a horse race between representative risk parity portfolios and other asset …/bond portfolio. They find that the traditional risk parity portfolio construction does not consistently outperform (in terms of risk … portfolios. Over the last 30 years, the Sharpe ratios of the risk parity and the equal-weighting portfolios have been much more …

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …