it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …

optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the … diversification, we show that these portfolios are tilted towards assets with lowest volatilities and, after controlling for the low …

it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …