This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives … international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging …

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …

and rotated Clayton copulas overstate the benefits of diversification in the economy, while the rotated Gumbel and Clayton …

the first application of stable distributions to real estate portfolio returns provides evidence that diversification … diversification effects in property portfolios, and only to a certain time-dependent extent. The results have strong implications for …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …

estimates indicate that the ASEAN stock indexes are less integrated and thus potentially better for diversification purposes …