Is it really possible to control for the downside risk when the market environment is in constant evolution? If so, what would be the long-term growth prospects of such a strategy? We show in this article that when the dynamics of the variance and correlation terms are properly taken into...

The twentieth century has been extremely unusual in that economic growth rates have been extraordinarily high. At the same time, costs of this growth have also been extremely high. These have been in the form of environmental degradation, depletion of planetary resources and species, climate...