In this paper we analyse market co-movements during the global financial crisis.  Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing asset classes such as equity, FX, fixed income, commodity and energy...

In this paper we analyse market co-movements during the global financial crisis. Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing as-set classes such as equity, FX, fixed income, commodity and energy...

This paper gives an asymptotic analysis of the mean-variance (Markowitz-type) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance of the risk aware Markowitz-type portfolio strategy in growth rate compared to the log-optimal...