Abstract
The performance of recently introduced risk-control indices is evaluated and tested with respect to a set of competing indices. Applying a method of moments methodology to these data reveals that the performance of strategies that track risk-control indices have economic and statistical significance to investors with realistic risk aversion parameter values. However, this performance varies over time and appears to be determined by macroeconomic and liquidity conditions.
Original language | English |
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Pages (from-to) | 153-179 |
Number of pages | 27 |
Journal | European Financial Management |
Volume | 23 |
Issue number | 1 |
Early online date | 19 Jun 2016 |
DOIs | |
Publication status | Published - 1 Jan 2017 |
Keywords
- Risk control
- volatility
- certainty equivalent return
- method of moments
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Dive into the research topics of 'Risk Control: Who Cares?'. Together they form a unique fingerprint.Profiles
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Professor Nick J Taylor
- School of Accounting and Finance - Professor of Financial Economics
Person: Academic