We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several … historical, time-series model, and option implied estimators for estimating realized market beta. Thereby, we find the hybrid …, including fully implied and GARCH-based methods for dynamic conditional beta, are dominated by a simple beta estimate based on …

these estimates outperform on both an absolute and a risk-adjusted basis the minimum volatility portfolio as well as naive … volatility portfolio optimization, which implicitly assumes that expected returns for all assets are equal. We argue that …

market risk factors (namely, the six Fama French factors), to precious metal commodity returns, and to cryptocurrency …-specific risk-factors (namely, crypto-momentum, a sentiment index based on Google searches, and supply factors, i.e., electricity …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the … venture funds, we find a high market beta. For buyout funds, we find a low beta. Though we have a small sample, our results …