overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high … how the contribution to portfolio returns is not representative of the real grade of risk diversification. …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology … markets (Telecom (TE), Sina darou (SI), Motojen (MO), Mellat bank (ME), and Esfahan oil refinery (ES)). Then Value-at-Risk of …