Progress on asymmetric correlations of asset returns has recently advanced considerably.
Asymmetric correlations can cause problems in hedging effectiveness and overstate the …

Fossil fuels supply most of the energy we need for many functions but alternative energy
global consumption is expected to increase in the future supported by great incentives …

Abstract We generalize the Black–Litterman (BL) portfolio management framework to
incorporate time-variation in the conditional distribution of returns in the asset allocation …

We analyse the integration patterns of seven leading European stock markets from 1990 to
2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch …

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance …

We examine the hedging and safe-haven characteristics of gold, silver, platinum, and
palladium and three major indices in the US market. The metal markets are known for their …

We assess the ability of minimum-variance portfolio allocation strategies accounting for time-
varying correlation between assets to provide performance benefits relative to an equally …

Previous studies on the performance of Islamic finance and banking have been more
comparative than experimental when it comes to the role and effect of Islamic (Shari'ah …

This paper analyses plethora of advanced multivariate econometric models, which forecast
the mean and variance-covariance of the asset returns to create optimal asset allocation …

We analyze return predictability for US sectors based on fundamental, macroeconomic, and
technical indicators and analyze whether return predictions improve tactical asset allocation …