Using the generalized extreme value theory to characterize tail distributions, we address liqui- dation, leverage, and …

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …

This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …

price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the … appropriate rate of return on a security. We demonstrate that price targets contain risk-related information not incorporated into … other ex-ante measures of expected returns, as the risk/reward relations are not present using the other measures. Use of …

The risk of financial ruin during retirement plays a critical role in the formation of equity premiums. Retirees … supply side, for retirees who seek to reduce the risk to outlive their money, the average asset-weighted risk-neutral equity … premium, proved to be around 8%. On the demand side, risk adjustments may be done using the traditional utility-based and …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

require lower compensation for aggregate risk than for idiosyncratic risk, consistent with systemic risk-taking due to too …-many-to-fail guarantees. The underpricing of aggregate risk is concentrated among banks that benefit more from increasing their exposure to …

. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when …, and no manager capital co-invested are more likely to take on excessive liquidity risk. These results resonate with the … theory of funding liquidity by Brunnermeier and Pedersen (2009) …

This paper provides a comprehensive economic evaluation of the short-horizon predictive ability of liquidity on monthly … empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic … gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various …