This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

This paper investigates how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup.

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper solves the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds.

This paper shows optimal asset allocation during these two phases must be different.

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...