We outline a method of portfolio selection incorporating asymmetric dependency structures using copula functions. Assuming normally distributed marginal returns, we illustrate how asymmetric return correlations affect the efficient frontier and subsequent portfolio performance under a dynamic...

We demonstrate a means of incorporating asymmetric dependency structures during the portfolio construction process using copula functions. Specifically, we investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic...

We examine the price of asymmetric dependence (AD) in the cross-section of US equities. Using a $\beta$-invariant AD metric, we demonstrate that the return premium for AD is approximately $47%$ of the premium for $\beta$. The premium for lower-tail AD equivalent to $26%$ of the market risk...

We explore the benefits gained by actively managing asymmetric dependence during the portfolio construction process. First, we determine the existing and nature of asymmetric dependency between international equity indices. Next, we illustrate how managing lower tail dependence between...