theory and machine learning to build a diversified portfolio. Like the traditional risk-based allocation methods, HRP is also … under an appropriate covariance forecast model whether the machine learning based HRP outperforms the traditional risk …. Minimum variance and maximum diversification are most sensitive to covariance misspecification. HRP follows the middle ground …

tails of portfolio losses compared to both a linear frailty model and machine learning methods ignoring frailty correlation …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …