predictability via an independent currency portfolio delivers a high risk-adjusted return and provides superior diversification gains …

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the …

The existence of country-specific risk factors that could be mitigated by international investments is investigated. An …-specific source of risk that can be hedged via the use of non-domestic diversification. Most of the previous literature on this topic …

regimes capture pronounced time-variation in the risk and return properties of asset classes. Time-variation is also observed … in the risk of a traditional, static strategic asset allocation portfolio. In order to stabilize risk across the economic …

level of risk. The performance of pension funds is often measured by their global asset returns because of the latter … risk level given their social security (and not speculative) function. We describe the process of the global asset return … carried out to balance the asset composition when the established local degree of risk is exceeded. The application is carried …

persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to …

risk and returns that characterize the domestic and the foreign investment opportunity sets. Optimal portfolios and hedging …