This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

In this paper, we argue that certain recent findings concerning the predictive ability of tail risk exposure, defined as the extremal dependence between asset returns and market returns, are likely spurious. We argue that these results are related to biases in the estimation procedure of the...

Accurate estimation of different risk measures for financial portfolios is of utmost importance equally for financial institutions as well as regulators, however, many existing models fail to incorporate any high dimensional dependence structures adequately. To overcome this problem and capture...

This paper studies how to construct and compare various optimal portfolio frame-works for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the...

Extreme event modeling has always attracted attention in domains such as hydrology, as well as in major financial markets where modelers benefit from an abundance of available data (Embrechts et. al, 1997). Following the recent global financial crises, however, proper models for modeling such...

We show that the value of risk reduction changes rapidly when loss is high, due to interactions between skewness of wealth () and kurtosis risk aversion (K(x¯)), increasing ambiguity in model predictions. However, when the initial probability of loss (p) <<< and K(x¯) <(>), risk seeking (risk averse), imprudent...</<<>