geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in …The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of … diversifying risk …

and rotated Clayton copulas overstate the benefits of diversification in the economy, while the rotated Gumbel and Clayton … copulas tend to understate them. Since risk aversion and efficient markets suggest that investors should demand a premium for …

Handling risk factors in the context of a multi-asset risk parity portfolio allocation has created increased interest … in recent literature. When allocating along risk factors through principal components, one major problem that persists is … positions if investors accept equal risk contributions for the first few risk factors, which explain most of the portfolio …

financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

We investigate the out-of-sample diversification benefits of risk parity portfolios by analyzing the properties an … asset class has to fulfill in order to be beneficial in a risk parity strategy and compare them with benefits present in … other heuristic weighting techniques, especially risk-based strategies. We find that risk parity portfolios achieve a …

The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the … diversification ratio. In empirical and Monte Carlo experiments, the resulting regularized rules are compared to several strategies …

that MD portfolios exhibit greater diversification and a higher Sharpe ratio than other investment strategies, this was not …