This paper empirically assesses the ability of three putative stablecoins (two dollar-backed,
Tether and USD Coin; and one gold-backed, Digix Gold) to mitigate the risk of facing severe …

We examine diversification capabilities of Bitcoin for a global portfolio spread across six
asset classes from the standpoint of investors dealing in five major fiat currencies namely US …

A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which
yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The …

This empirical study investigates the potential of carbon markets in reducing the downside
risk of NFT portfolios. Employing a monthly rebalance experiment and considering higher …

This study analyses the relationship between equites and foreign exchange markets by
employing a conditional value at risk (CoVaR) framework for developed and developing …

The price of natural gas has experienced a huge increase in recent years due to the
pandemic and the war in Ukraine, which has created a high risk for agents working with gas …

This study aims to determine which auxiliary asset-S&P500, SHCOMP, the US 10Y bond,
gold, Brent or corn, in combination with Bitcoin has the best downside riskminimizing …

Mean-variance portfolio theory remains frequently used as an investment rationale because
of its simplicity, its closed-form solution, and the availability of well-performing robust …

Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of
papers have been written on the mean-variance investment problem. However, due to the …

In this paper, we evaluate the downside risk of six major agricultural commodities–corn,
wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use …