beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

. The relationship between risk and return in the long and short term was explored. Results indicated no significant … relationship between the risk and return of the stock portfolio in the short run, which reflects the complexity of the Chinese … stock market. However, in the long run, the risk and return of the stock portfolios are positively correlated, which means …

construct managed portfolios of a risk-free asset and market index. …

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …. Finally, we simulate 10,000 portfolios and estimate value at risk (VaR) and Expected shortfall (ES). The empirical results …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

We investigate portfolio diversification strategies based on hierarchical clustering. These hierarchical risk parity … lower tail dependence coefficient. Such innovation is expected to achieve better tail risk management in the context of … allocating to skewed style factor strategies. Indeed, the corresponding hierarchical risk parity strategies seem to have been …