theory, despite this, it is the CAPM beta that is the most common tool for integrating the risk factor into financial models …) is associated with a certain level of risk. An effective mechanism in the context of leveling investment risks can be an … cash flow valuation is one of the most common and reliable. The beta coefficient as a measure of market risk is of …

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 …

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk … (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal …

. 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 …

to achieve better risk-adjusted performance than cap-weighted portfolios, we find that they are often constructed with … the well-known equity risk factors (market, value, small-cap, momentum and volatility), the primary factor drivers of … individual strategies are often distinct, and in turn may define the risk and return profile of the strategy.These findings …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for … the liquid asset class beyond their true level of risk from the underlying dividend process with regard to the market risk …

provide exposure to Value, Momentum, Low Volatility, and Quality as alternative sources of equity risk premia in a passive …