Risk Control: Who Cares?

Nick J Taylor

doi:10.1111/eufm.12094

Risk Control: Who Cares?

Nick J Taylor

School of Accounting and Finance

Research output: Contribution to journal › Article (Academic Journal) › peer-review

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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
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	https://doi.org/10.1111/eufm.12094
Publication status	Published - 1 Jan 2017

Keywords

Risk control
volatility
certainty equivalent return
method of moments

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10.1111/eufm.12094

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This is the author accepted manuscript (AAM). The final published version (version of record) is available online via Wiley at http://onlinelibrary.wiley.com/doi/10.1111/eufm.12094/full. Please refer to any applicable terms of use of the publisher.
Accepted author manuscript, 0.99 MBLicence: CC BY-NC

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Professor Nick J Taylor
- nick.taylorbristol.acuk
- School of Accounting and Finance - Professor of Financial Economics
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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.",

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Risk Control: Who Cares?

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