Dynamic Risk Management: Theory and Evidence ∗ Frank Fehle and Sergey Tsyplakov September 2, 2003 ∗ FrankFehle is at Barclays Global Investors and the University of South Carolina; E-Mail: ffehle@moore.sc.edu; Phone: (803) 777-6980. Sergey Tsyplakov is at the University of South Carolina; E-Mail: sergey@moore.sc.edu; Phone: (803) 777-4669. Fax: (803) 777-6876. Mailing address: BFIRE, Moore School of Business, University of South Carolina, Columbia, SC 29208. We would like to thank seminar participants at 2003 Annual Meeting of the Western Finance Association, the University of South Carolina, and, especially, Tim Adam, Shingo Goto, David Haushalter, Ted Moore, Greg Niehaus, Ajay Patel, Sheridan Titman, Stathis Tompaidis, and Donghang Zhang. Authors are grateful to the Caesarea Center and the Western Finance Association for awarding this paper for the 2003 best paper on risk management. The views and opinions expressed in this paper are the authors’ and do not represent Barclays Global Investors.