This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In … uncorrelated with standard risk-factors, and exhibits no downside risk. Distributions of drawdowns and maximum losses from daily …

This paper investigates two risk-management techniques originally created for stock market momentum strategies, i.e. a … macroeconomic risk factors, but limits to arbitrage (stemming from high idiosyncratic volatility) are a potential source of currency …

The existence of country-specific risk factors that could be mitigated by international investments is investigated. An …-specific source of risk that can be hedged via the use of non-domestic diversification. Most of the previous literature on this topic …

. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …