The dependence structure is crucial when modelling several assets simultaneously. We show for a real-data example that the correlation structure between assets is not constant over time but rather changes stochastically, and we propose a multidimensional asset model which fits the patterns found...

Illiquidity is a major issue in today’s risk management, yet there exists no straight-forward quantification of liquidity or illiquidity. We present eight possible measures of liquidity which are partially based on micro-structural market data and examine their evolution over time in the...

For determining an optimal portfolio allocation, parameters representing the underlying market—characterized by expected asset returns and the covariance matrix—are needed. Traditionally, these point estimates for the parameters are obtained from historical data samples, but as experts often...

For determining an optimal portfolio allocation, parameters representing the underlying market—characterized by expected asset returns and the covariance matrix—are needed. Traditionally, these point estimates for the parameters are obtained from historical data samples, but as experts often...