Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest this represents a good opportunity to purchase put options for portfolio insurance.It is well-known that portfolio insurance is expensive on average, but what about in calm markets? History suggests...

Tail risk protection is a mantra in portfolio allocation. A common method in this context is the NMFRB allocation. Here, we extend it to drawdown risk measures and show that the proposed portfolios compete with machine learning-based portfolios such as Hierarchical Risk Parity (HRP) and...

This note presents a measure of the effective protection rate in a general equilibrium model under uncertainty where a stock market exists and international trade in securities takes place. Real equity prices replace the final commodity prices since, in the presence of uncertainty, resource...

This paper first presents a dynamic model that features both real and monetary aspects of international trade and is capable of dealing with both full employment and secular unemployment. The model is then utilized to examine the effect of a tariff on the terms of trade, the trade pattern, real...

Starting from well-known empirical stylised facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations...

The ongoing euro zone debt crisis creates an undesirable scenario for the global economy as well as for the Asia-Pacific region given that the region has close economic linkages. The paper aims to provide quantitative estimates of the potential impact of the euro zone debt crisis on merchandise...