for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …

Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management …

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in … inability of infrastructure sector returns in emerging markets to hedge inflation. Similar results were obtained when the … inflation-hedging capacity of real estate and general listed equity was assessed. This suggests the existence of significant …

This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily … and policies aimed to stimulate output growth dissipate into domestic currency depreciation and higher inflation, with …

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU … financial world” has an impact on business cycles and contributes to business cycle convergence via the consumption …, similar portfolios contribute to a convergence of business cycles - via a convergence of consumption cycles. This turns out to …