León, Ángel; Ñíguez, Trino-Manuel - In: The Journal of Risk Finance 22 (2021) 5, pp. 332-344
Purpose: The authors apply their method to analyze which portfolios are capable of providing superior performance to those based on the Sharpe ratio (SR). Design/methodology/approach: In this paper the authors illustrate the use of conditional copulas for identifying differences in alternative...