review the appropriate hedge fund's risk assessment models for investing in the global capital markets in time of high …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

The estimation of risk factors and their replication through mimicking portfolios are of critical importance for … these macro mimicking factors can be used to improve the risk-return profile of a typical endowment multi-asset portfolio …

This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and … real estate risk premium is positively related to the GDP growth rate and the change in the credit spread, and negatively … related to the inflation rate, the stock market risk premium, and the change in the term spread. The sensitivities vary across …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …