We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …