In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with … average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an … highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk …

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not …, and explore the merits of beta in that context. Ultimately, we ask two questions: 1) Is beta a good measure of risk? And … of beta outperforms a passive strategy in terms of both returns and risk-adjusted returns …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …