investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to … April 2007, we show that fundamentally-weighted indexes achieve higher risk-adjusted returns than market …

tail dependence. Our findings suggest that nonlinearity in hedge fund exposure to market risk is more short-term in nature …

investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent … data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap …

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …