Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...

We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with market prices of options on these assets and their weighted index. In an empirical application, we use options on the S&P 500 index and its nine industry sectors. The...

The assessment of portfolio risk is often explicitly (e.g., the square root formula under Basel III) or implicitly (e.g., credit risk portfolio models) driven by the marginal distributions of the risky components and the correlations amongst them. We assess the extent by which such practice is...