mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the … fund — where risk includes volatility of returns plus drawdown — while earning a positive return. A dynamic beta program … implemented through an overlay and customized to each investor's needs can help manage portfolio risk from an asset …

.g., Profitability and Investment) perform particularly well when traditional portfolios (e.g., 60/40 or risk parity portfolios) exhibit …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …

interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at …Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … duration. The empirical results provide evidence that first duration is an increasing function of the interest rate and next …