Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data
points with stability in order to avoid excessive rebalancing. To achieve this, a new …

A non-Gaussian multivariate regime switching dynamic correlation model for financial asset
returns is proposed. It incorporates the multivariate generalized hyperbolic law for the …

A new multivariate time series model with various attractive properties is motivated and
studied. By extending the CCC model in several ways, it allows for all the primary stylized …

A new approach for multivariate modelling and prediction of asset returns is proposed. It is
based on a two-component normal mixture, estimated using a fast new variation of the …

We introduce a unified framework for rapid, large-scale portfolio optimization that
incorporates both shrinkage and regularization techniques. This framework addresses …

A mean–variance heterogeneous tails mixture distribution is proposed for modeling financial
asset returns. It captures, along with the obligatory leptokurtosis, different tail behavior …

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or
iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution …

Risk parity portfolio optimization, using expected shortfall as the risk measure, is
investigated when asset returns are fat‐tailed and heteroscedastic with regime switching …

The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a
model for asset allocation. A method of parameter estimation is deployed that is nearly …

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. It provides theoretical and empirical evidence that …