Dhaene, Denuit, Goovaerts, Kaas and Vyncke [Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002a. The concept of comonotonicity in actuarial science and finance: theory. Insurance Math. Econom. 31 (1), 3-33; Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002b. The...

Orthant probabilities applied in a two-dimensional framework are used to derive quadrant-conditional financial asset return correlations which fully capture both linear and non-linear components of co-variability. We investigate the potential for employing quadrant-conditional correlations in...

The risk and return characteristics of a highly diversified investment portfolio are examined in an effort to best assess its potential by means that incorporate both conventional risk estimation and performance evaluation. Estimation of performance variability and downside risk often assumes a...