and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 … conditional volatility and return to determine the risk-return relationship. We find that the risk-return trade-off is generally … the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

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 …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …