We outline a method of portfolio selection incorporating asymmetric dependency structures using copula functions. Assuming normally distributed marginal returns, we illustrate how asymmetric return correlations affect the efficient frontier and subsequent portfolio performance under a dynamic...

We explore the benefits gained by actively managing asymmetric dependence during the portfolio construction process. First, we determine the existing and nature of asymmetric dependency between international equity indices. Next, we illustrate how managing lower tail dependence between...

We demonstrate a means of incorporating asymmetric dependency structures during the portfolio construction process using copula functions. Specifically, we investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic...

The broad aim of this research is to develop a better understanding of the capital structure practices and processes of European real estate companies. The emphasis is on internal processes and the firmsí rationale for particular decision making behaviour. By capital structure processes and...

A nonparametric method is introduced to accurately price American‐style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. The accuracy of this method is tested in a controlled experimental environment under both...

Alcock and Carmichael (2008, The Journal of Futures Markets, 28, 717–748) introduce a nonparametric method for pricing American‐style options, that is derived from the canonical valuation developed by Stutzer (1996, The Journal of Finance, 51, 1633–1652). Although the statistical...

The leverage and debt maturity decisions of real estate firms are related. However, most empirical capital structure studies implicitly assume that they are made independently. We explore both these dimensions of capital structure in US real estate companies and REITs and find that leverage and...

Firms can choose a capital structure that maximises real risk-adjusted performance by matching nominal liabilities with nominal assets. In doing so, firms minimise the sensitivity of real risk-adjusted returns to unexpected inflationary shocks. We develop a model of real risk-adjusted...