that the DCC-NL estimator results in risk reduction and efficiency increase in large portfolios as long as a small amount …

-diversifiable risk. In the context of normally distributed asset returns, its estimator and finite-sample properties are explored when …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

Purpose - In futures markets, margin trading not only relaxes leverage constraints but also entails the risk of margin … calls. Therefore, existing studies provide inconsistent evidence on low-risk anomalies, raising challenges in understanding … leverage constraints in futures markets. This study aims to address this gap by focusing on margin call risk. Through bootstrap …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute …

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …