Härdle, Wolfgang; Nasekin, Sergey; Lee, David Kuo Chuen; … - 2014
. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across … position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …