We investigate how to best model skewness for portfolio choice decisions. To this end, we compare the predictive ability and portfolio performance of several prominent skewness models in a sample of ten international equity market indices. Overall, models that employ information from the option...

Despite a rich academic literature dedicated to mutual fund performance, the question of the portfolio manager added value remains subject to discussion. The debate between active and passive investing is expected to last while there is no consensus on the appropriate measure for evaluating a...

We explain the usage of the following new R functions in my package called ‘generalCorr’ Vinod (2021b). The function sudoCoefParcor() is for pseudo regression coefficients from kernel regressions. They are a nonlinear version of regression coefficients from standardized data. The functions...

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...

We propose a new methodology to implement unconditionally optimal dynamic mean-variance portfolios. We model portfolio allocations using an auto-regressive process in which the shock to the portfolio allocation is the gradient of the investor's realized certainty equivalent with respect to the...

Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...