A portfolio diversification strategy via tail dependence clustering
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We provide a two-stage portfolio selection procedure in order to increase the diversification benefits in a bear market. By exploiting tail dependence-based risky measures, a cluster analysis is carried out for discerning between assets with the same performance in risky scenarios. Then, the portfolio composition is determined by fixing a number of assets and by selecting only one item from each cluster. Empirical calculations on the EURO STOXX 50 prove that investing on selected assets in trouble periods may improve the performance of risk-averse investors.
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Disegna M; Durante F; Foscolo E (Springer International Publishing, 2017)According to the micro-economic theories regarding consumption behaviour, the determinants affecting the joint propensity of purchasing different goods and services are investigated. For this purpose, a copula-based model ...
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Durante F; Puccetti G; Scherer M; Vanduffel S (2016)Christian Genest is Professor and Canada Research Chair in Stochastic Dependence Modeling at McGill University, Montréal, Canada. He studied mathematics and statistics at the Université du Québec à Chicoutimi (BSpSc, 1974), ...