S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

language may influence risk perception and investment behavior, no study has explored the causal effects of linguistic … investment decisions is amplified by risk perception. Investor characteristics that significantly affect their risk perception … investors to earnings call excerpts with randomized levels of uncertainty. The subjects were engaged in an investment game and …

larger share of equity in their investment portfolio. This relation holds when we control for economic preferences and … this relation is driven by a link between internal economic locus of control and a lower perception of the risk of …

funds, it has been shown that relative "loser" managers tend to increase risk as a means to improve their performance, while … in MMAs. A concave relationship between performance and reallocations of funds is a deterrent for undesired risk …-taking. Risk management requirements imposed by investors drive the risk in mandates, and highlight their governance abilities …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …

volatility variable, when included into the training sample, boosts the predictive power of the model significantly. -- CART …

-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …