Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

Using extensive and comprehensive databases to select a subset of research papers, we
aim to critically analyze previous empirical studies to identify certain patterns in determining …

The main purpose of this paper is to examine the relationship between the US stock market
and the gold price in the presence of geopolitical tensions and conflicts by introducing the …

We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …

We study portfolio choice when labor income and dividends are cointegrated. Economically
plausible calibrations suggest young investors should take substantial short positions in the …

In order to capture observed asymmetric dependence in international financial returns, we
construct a multivariate regime-switching model of copulas. We model dependence with one …

Our objective in this paper is to examine whether one can use option-implied information to
improve the selection of mean-variance portfolios with a large number of stocks, and to …

In this paper we provide a survey of recent contributions to robust portfolio strategies from
operations research and finance to the theory of portfolio selection. Our survey covers …

We propose a quantile‐based measure of conditional skewness, particularly suitable for
handling recalcitrant emerging market (EM) returns. The skewness of international stock …

We employ model predictive control for a multi-period portfolio optimization problem. In
addition to the mean-variance objective, we construct a portfolio whose allocation is given …