Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a...

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model that allows for the hedges to be cointegrated with the...

We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results...

Value at Risk (VaR) is a commonly used downside-risk measure giving the worst case asset-loss over a target horizon for a given confidence level. Today VaR is a mainstay of financial risk management and its relative simplicity ensures its popularity in executive environments. Implied correlation...