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...

This study presents further evidence on the predictability of excess Equity Reit returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in poor out of sample performance. Trading strategies based upon these forecasts have not outperformed the buy hold...