This review presents a general theory of financial crashes and of stock market instabilities
that his co-workers and the author have developed over the past seven years. We start by …

We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

Using one of the key properties of copulas that they remain invariant under an arbitrary
monotonic change of variable, we investigate the null hypothesis that the dependence …

The literature on portfolio selection and risk measurement has considerably advanced in
recent years. The aim of the present paper is to trace the development of the literature and …

Drawdowns are essential aspects of risk assessment in investment management. They offer
a more natural measure of real market risks than the variance or other cumulants of daily (or …

Purpose Many governments are taking measures in support of small and medium-sized
enterprises (SMEs) to mitigate the economic impact of the COVID-19 outbreak. This paper …

Abstract Extension of the Black-Litterman Bayesian approach to portfolio construction in the
presence of non-trivial preferences about higher moments of asset return distributions has a …

This paper examines the advantages of incorporating strategic exposure to equity volatility
into the investment-opportunity set of a long-term equity investor. We consider two standard …

As a result of the complex trading strategies they implement, and the full flexibility they have
with respect to their ability to use derivatives and trade in illiquid markets, hedge fund …