This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil … five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium … stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the …

usual tests. The empirical results emphasize several patterns, such as certain estimation models produce risk estimates more …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …

This paper provides a general framework for integration of high-frequency intraday data into the measurement … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications. …

A rapidly growing literature has documented important improvements in financial return volatility measurement and …