In this article, we show how to take into account skewness risk in portfolio allocation. Until recently, this issue has … interpretation of the skewness risk, we focus on two approaches that are closely connected. The first one is based on the Gaussian … that mixes risk premia, more specifically risk parity, momentum and carry strategies. We show that traditional portfolio …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

Interconnectedness is an alternative risk concept that so far has earned little attention in the asset management … academia and industry. In this paper, we show that this neglect is not justified, as interconnectedness risk (i) has only … interconnectedness information outperform their conventional peers. Utilizing a multi asset dataset, we measure interconnectedness risk …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

Financial institutions commonly face the risk that large trades will execute at unfavorable prices due to price impact … into smaller pieces and to trade these pieces sequentially over time. Such a strategy, however, is exposed to market risk …. Unlike price impact, market risk can be hedged. This paper explores the market risk management of the liquidation of a large …

straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving … little error margin in comparing market risk for different financial funds. As such, it should be a tool of preference for …, like short-term Efficient-Market-Hypothesis, EMH. In addition, the model includes a new measure of risk: a liquidity …

Risk and return play a central role in financial theory. Return is easily measurable and is a percentage number … indicating by how much the value of an investment or asset has changed from the previous period. But how should risk be measured …? Over longer holding periods, return generation is associated with the risk taken. How can risk be measured to facilitate …

This paper presents a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk …

Within the finance literature there is an apparent gap between the inherent risk premium ignorance of a risk parity … approach on the one hand and the assumed risk premium clairvoyance of a mean variance approach on the other. We propose a … confidence in one's risk premium estimates, the optimal portfolio will be tilted more towards the risk parity portfolio or to the …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …