We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum-VaR and the minimum-expected shortfall hedge ratios as special cases....

The paper proposes a full comprehensive analysis of green bond diversification benefits, their comovementwith multiple market indices, and the corresponding implications for portfolio allocation.Based on a time-frame of seven years, divided into four sub-periods, the co-movements of...

We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio...