Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Previous research has shown that equally weighted portfolios outperform optimized
portfolios, which suggests that optimization adds no value in the absence of informed inputs …

In the context of managing downside correlations, we examine the use of multi‐dimensional
elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 …

Regime shifts present significant challenges for investors because they cause performance
to depart significantly from the ranges implied by long-term averages of means and …

Full coverage of ETF investments from an expert in the field The initial edition of Gary
Gastineau's The Exchange-Traded Fund Manual was one of the first books to describe and …

In this paper, we study how the comovement between cryptocurrencies and the US inflation
expectation rates has changed during the post-reopening of the US economy after the Covid …

One of the most vexing problems in investment management is that diversification seems to
disappear when investors need it the most. We surmise that many investors still do not fully …

Why do mean–variance (MV) models perform so poorly? In searching for an answer to this
question, we estimate expected returns by sampling from a multivariate probability model …

Construction of efficient portfolios is reliant on understanding the correlation between assets.
If correlations change markedly during times of economic turmoil then investors are exposed …

Critics of international diversification observe that it does not protect investors against short-
term market crashes because markets become more correlated during downturns. Although …