weekly data and prospect theory for monthly data. The results demonstrate that the risk of a stock can be underestimated or …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting … of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can even become …

risk and style exposures. The turnover of a traditional active strategy causes capital gain realizations on both the active …

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

In this article, we consider a new framework to understand risk-based portfolios (GMV, EW, ERC and MDP). This framework …, tracking error and risk diversification. In particular, we show that the smart beta portfolios differ because they implicitly … volatility reduction and show that they present appealing properties compared with the traditional risk-based portfolios …

-pricing theory and asymptotic analysis (for large number of assets) can be used to provide powerful solutions to mitigate … misspecification. The starting point of our analysis is the Arbitrage Pricing Theory (APT). We extend the APT to show that it can …'' portfolio that depends on factor risk premia and an ``alpha'' portfolio that depends only on pricing errors. For the beta …

and the average active manager falls behind the benchmark. Aggregate risk is reduced over time through "closet indexing …