obtained from the copula estimated dependence measures and Value at Risk (VaR) allows to examine the diversification benefits … that the addition of agribusiness stocks to a portfolio are able to provide significant diversification benefits to a … diversification in their portfolio, may find it unattractive from a both a risk management and profit maximizing perspective. However …

Purpose – What copulas are, their estimation, and use is illustrated using a geographical diversification example. To … using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to … parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall …

-Switching models, the empirical histogram and the dynamic copulas. We discuss the choice of the best method with respect to the policy …

-Switching models, the empirical histogram and the dynamic copulas. We discuss the choice of the best method with respect to the policy …

the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that …

diversification effectively, diversifying away about 70%-80% of unsystematic risk, the momentum factor is not among the important …

topic of diversification with a special focus on the financial crisis period of 2007 through 2009. Our results indicate that …

This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-tailedness. We use … a notion of diversification based on majorization theory that will be explained in the text. The paper shows that the … stylized fact that portfolio diversification is preferable is reversed for extremely heavy-tailed risks or returns. However …