Ever since the introduction of Markowitz's classical quadratic programming problem, transforming portfolio optimization into a linear programming (LP) problem has drawn much attention from researchers and practitioners, given the tractability of LP. However, using non-linear risk measures and...

The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure...

We evaluated the performance of multivariate models for forecasting Value at Risk (VaR), Expected Shortfall (ES) and Expectile Value at Risk (EVaR). We used Historical Simulation (HS), Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and copula...

We propose a family of range based risk measures to generalize the role of Value at Risk (VaR) in the formulation of Range Value at Risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations....

Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as...

In this paper, we use a serial dependence structure of financial assets based on pair-copula construction (PCC) to estimate risk measures in a very flexible way. This structure considers dependence with past observations isolating the effect for other lags, in a way that strengths the capacity...

Liquidity is easily perceived but not easily defined in financial markets. In this study, we present a class of liquidity measures called Proper Liquidity Measures (PLM). We prove that widely used measure such as percent quoted spreads and the Amihud measure fulfill our axioms. PLMs can be...