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Publication - Professor Nick Taylor

    Risk Control

    Who Cares?


    Taylor, NJ, 2017, ‘Risk Control: Who Cares?’. European Financial Management, vol 23., pp. 153-179


    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.

    Full details in the University publications repository