Financial crises are typically characterized by highly positively correlated asset returns due to the simultaneous distress on almost all securities, high volatilities and the presence of extreme returns. In the aftermath of the 2008 crisis, investors were prompted even further to look for...

Graphical models have shown remarkable performance in uncovering the conditional dependence structure across a set of given variables. In this paper, we introduce two new graphical modelling approaches—called Gslope and Tslope—to the portfolio selection literature for directly estimating the...

Graphical models have shown remarkable performance in uncovering the conditional dependence structure across a set of given variables. In this paper, we introduce two new graphical modelling approaches - called Gslope and Tslope - to the portfolio selection literature for directly estimating the...

Graphical models have demonstrated exceptional performance in uncovering the conditional dependence structure among a given set of variables. This paper introduces two novel graphical modeling techniques: Gslope and Tslope, which use the Sorted L1-Penalized Estimator (Slope) to directly estimate...