this paper bring together extreme value theory and dependence uncertainty, two popular topics in the recent study of risk …In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value-at-Risk … (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst …

Markowitz (1952) produces optimal portfolios. If, however, both and are estimated with uncertainty, mean-variance optimization …. It allows the specification of views and an uncertainty about these views, which are combined with equilibrium returns … process. In the Black-Litterman model, however, uncertainty about the equilibrium returns is specified with an overall scalar …

risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors …This paper conducts a theoretical and empirical investigation of global portfolio diversification for long … increase in the cross-country correlations of cash flow shocks raises the risk of a globally diversified portfolio at all …