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 to …

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 2013. …

We conduct an empirical comparison of static versus dynamic hedges of barrier options.
Using more than five years of data, we compare a number of static hedges from the literature …

In this article, the authors present a novel and highly flexible concept to simulate correlation
matrixes of financial markets. It produces realistic outcomes regarding stylized facts of …

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 of the …

We present extensive calculations for the dissociation of Ar 2 + caused by the interaction
with strong (I peak ≲10 14 W/cm 2 ) and short (T < 5 ps) laser pulses; the calculations are …

Starting from well-known empirical stylized facts of financial time series, we develop dynamic
portfolio protection trading strategies based on econometric methods. As a criterion for …

The Financial Stability Board defines FINancial TECHnology as “technologically enabled
financial innovation that could result in new business models, applications, processes, or …

In this article, the authors present a conceptual framework named adaptive seriational risk
parity (ASRP) to extend hierarchical risk parity (HRP) as an asset allocation heuristic. The first …

Building an investment portfolio is a problem that numerous researchers have addressed
for many years. The key goal has always been to balance risk and reward by optimally …