Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based …

-only portfolios. As the NMF factors represent separate sources of risk, they have a quasi-diagonal correlation matrix, promoting …We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization … diversification and presents a better risk profile than hierarchical risk parity (HRP). We assess the robustness of our findings using …

benchmarks in terms of risk minimization. These effects are amplified for investors with an increased sensitivity to risk …-adjusted returns, during high volatility periods or when accounting for tail risk …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it …

more informative than sectoral or correlation-based graphs …