ratio. For large sample sizes, the correlation between pairs of performance measures is asymptotically equal to unity …. Therefore, a new specification for tests of correlation between pairs of performance measures, as well as a new multivariate …

equivocal empirical evidence reported by several authors about the correlation of performance measures with the Sharpe ratio … will fail. The paper shows that for large sample sizes the correlation between pairs of performance measures that are … functions of the Sharpe ratio is unity. The correct null hypothesis for tests of correlation is therefore ρ=1. Two multivariate …

diversification benefits of correlations may vary substantially based on the time-varying measure of correlation used for different … asset types. Our study evaluates and compares alternative time-series correlation modeling techniques according to both … statistical and economic metrics, focusing specifically on individual asset pairs. We identify the moving correlation structure …

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …