Risk Control: Who Cares?
评估了风险控制指数的表现，发现其策略对风险厌恶投资者有经济和统计上的显著意义，但表现随时间变化且受宏观和流动性条件影响。
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.