Faculty & Research

Managing the Risk of Momentum

by Super User.

Pedro barroso website

MANAGING THE RISK OF MOMENTUM

"Compared to the market, value or size risk factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors with reasonable risk aversion. We found that the risk of momentum is highly variable over time and quite predictable.

Demographics And The Behaviour Of Interest Rates

by Super User.

DEMOGRAPHICS AND THE BEHAVIOUR OF INTEREST RATES

Professor Carlo Favero is a Professor of Economics at the Bocconi University, and Deutsche Bank Chair in Quantitative Finance and Asset Pricing. Professor Favero is the Director of the Ph.D. program at Bocconi, Fellow of the Centre for Economic Policy Research, and a former Director of the Innocenzo Gasparini Institute for Economic Research.