We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio theory is combined with recently proposed change point tests for dependence measures. Taking into account that the dependence structure of financial assets typically cannot be assumed to be constant...

A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman’s rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any moments, the applicability on usually heavy-tailed financial...

We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in finance. On the one hand, a simulation study examines the properties particularly with regard to a comparison with a previous standard method. On the other hand, we apply the...