Risk Control: Who Cares?

Research output: Contribution to journalArticle (Academic Journal)peer-review

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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 languageEnglish
Pages (from-to)153-179
Number of pages27
JournalEuropean Financial Management
Issue number1
Early online date19 Jun 2016
Publication statusPublished - 1 Jan 2017


  • Risk control
  • volatility
  • certainty equivalent return
  • method of moments


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