Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Cyclical asymmetry has been recognized as a non-linear phenomenon in recent studies examiningunemployment rate time series. The probabilistic structure of such time series is different duringeconomic upswings as compared with economic downswings. So, with forecasting unemploymentrates in mind,...