This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and its changes over time. For all...

It is well known that Cholesky decomposition will compress the tails in a multivariate probability mass. With significantly skewed or highly kurtotic distributions, this tail compression can be quite severe. In this paper, a simple methodology is presented to generate multivariate systems...

Numerous studies have shown that international diversification across global equity markets can lead to improved performance on a risk adjusted basis when compared to investing in domestic equity markets. Early studies provided empirical evidence that country and industry effects were important...

In this paper we present a simple approach of incorporating a Value at Risk (VAR) constraint to tactical asset allocation (TAA). We outline a dynamic VAR TAA strategy which is useful in controlling the risk and expected losses of any balanced product. From our results it is evident that...