In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework. For this objective, we...

Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minimization of two asymmetric deviation measures,...

We propose a shrinkage estimator for parameters θ which improves the mean squared error of functions x (θ) over standard choices. When the restricted model estimator is in the class of minimum distance estimators, we project onto the restricted parameter space using a matrix based on the...

Modeling cross-sectional correlations between thousands of stocks, acrosscountries and industries, can be challenging. In this paper, we demonstratethe advantages of using Hierarchical Principal Component Analysis (HPCA)over the classic PCA. We also introduce a statistical clustering algorithmto...

In this paper, we propose a general data-driven framework that unifies the valuation and risk measurement of financial derivatives, which is especially useful in markets with thinly-traded derivatives. We first extract the empirical characteristic function from market-observable time series for...