The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

The paper investigates the portfolio allocation effects of increased asset co-movements during extreme market downturns. We develop a model for the state variables underlying the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We...

In Part 1 a simple market timing algorithm was described that switches from an exchange traded fund representing U. S. equities (SPY) to one holding treasury long bonds (TLT) every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing...

In this paper a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimisation framework, by in certain...

In this paper we address the issue of modeling extreme asset co-movements and their implications for the hedging demands of a dynamic portfolio. We propose a model that is able to accommodate an extremal dependence structure through the stationary distribution of the state variables underlying...

The intercept of the standard CAPM and Conditional CAPM model, the alpha, is used to evaluate the long-run performance of managed portfolios. However, this measure is not always appropriate for detecting the presence and impact of active management strategies. In this paper, we introduce a...

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments...

Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...