Sharpe ratio
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Risk–return-efficient target-volatility strategies
Volume 3, Issue 3 (2014)
Camomille: most money made on the recovery
'Madness of crowds' psychology governs investment policy
Non-linear momentum strategies
Non-linear momentum strategies
Momentum trading: ’skews me
Momentum trading: ’skews me
Indexes of indexes can deliver lower volatility and increased exposure, say providers
An index based on other indexes can offer institutional investors sophisticated strategies and retail investors easier access to capital-protected products in difficult structuring conditions, say index firms
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies