We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …

's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept …

-only portfolios. As the NMF factors represent separate sources of risk, they have a quasi-diagonal correlation matrix, promoting … diversified portfolio allocations. We evaluate our method in the context of volatility targeting on two long-only global …