In this paper we develop a novel market model where asset variances–covariances evolve
stochastically. In addition shocks on asset return dynamics are assumed to be linearly …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

In this article, the authors construct a pipeline to benchmark hierarchical risk parity (HRP)
relative to equal risk contribution (ERC) as examples of diversification strategies allocating …

In this paper, we present a framework for detecting distinct correlation regimes and
analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to …

From 2004 to 2015, the market perception of the sovereign risks of the euro area
government bonds experienced several different phases, reflected in a clear time structure …

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI by
Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock, Peter Schwendner …

This article compares the performance of minimum-variance portfolios based on four
different covariance matrix estimators, using daily return data from the German stock market …

This paper extends the analytical valuation of options on the maximum or the minimum of
several risky assets in several directions. The first extension consists in including more …

Functional flexibility is the cornerstone for model building and model selection in quantitative
finance, for it is often difficult, if not impossible, to justify a specific parametric form of an …

Resumen ZAMBRANO REYES, Adriana y VENEGAS MARTINEZ, Francisco. Pricing
rainbow options on baskets of assets under mixed diffusion-jump processes. Contad. Adm …