This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper shows optimal asset allocation during these two phases must be different.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially...

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

Do entrepreneurs consider the risk of their business equity when making investment portfolio allocations? Many people compartmentalize different risks and consider them separately, called mental accounting. Alternatively, the risk substitution hypothesis suggests that entrepreneurs would offset...

This paper investigates the diversification prospects which may be reaped when investing in a mixture of emerging and developed market assets. Given that emerging markets are somewhat distinct from developed ones, one may expect significant diversification potential and therefore risk reduction....

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...

The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and being a relatively recent theory, its application has...