In the study of asset returns, the preponderance of empirical evidence finds that return distributions are not normally distributed. Despite this evidence, non-normal multivariate modelling of asset returns does not appear to play an important role in asset management or risk management because...

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for...

This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...

Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...

Regime switching models, especially Markov Switching (MS) models, are regarded as a promising way to capture nonlinearities in time series. Combining the elements of MS models with full Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroskedasticity (ARMA-GARCH) models...