We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

, 2004) Thus at a point in time when the market return is increasing we might expect to find the correlation between any two … stocks to be, on average, lower than the correlation between those same two stocks when the market return is negative …"Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks …

-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility … -- 5.1 Introduction -- 5.2 Asymmetric Dependence in Implied Equity Correlation: The Implied Correlation Skew -- 5.3 The … Effect of Correlation Skew on Portfolio Choice -- 5.3.1 The Optimal Portfolio Incorporating Stochastic Correlation -- 5 …

sentiment measured by Google Trends and Tunisian stock market return. Findings Using the dynamic conditional correlation (DCC …-varying interactions between market returns, volatility and Google search based index, especially during Tunisian revolution. …