Our most popular "risk management" papers appear to be those which challenge users in their methodologies for risk measurement and management.
Here is a small taster of three of these papers:
This paper is a collaborative effort between State Street Global Exchange and Windham Capital Management. It provides findings that are important to asset allocators looking at long-term asset allocation goals.
Theoretically, the use of risk factors could lead to more efficient allocations than traditional methods, but many investors are not fully implementing such methods because of practical issues. The authors demonstrate how the intuition of a risk factor portfolio could be used to improve its diversification and augment and refine traditional allocations.
The size premium has been contested in many ways: it has depleted since its discovery in the early 1980s, resides predominantly in January, is concentrated among microcaps, and is contained by proxies for illiquidity. The author, however, dismantle these challenges by controlling for the quality of the term.