In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154...

A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are equal. The Risk Parity approach has been originally...

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an alternative to quantiles (VaR) and to Expected Shortfall (ES). In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we...