We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying correlation between assets to provide performance benefits relative to an equally-weighted portfolio. Prior to transaction costs correlation-based strategies emphatically outperform the...

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to...

This paper studies the risk-return tradeoff in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant tradeoff, favorable evidence can be obtained if a non-linear framework between return and risk is...