Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …