This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

This paper shows optimal asset allocation during these two phases must be different.

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.