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Cogent Economics & Finance
Volume 11, 2023 - Issue 2
Financial Economics
On the usefulness of dynamically spilled risk: An optimal portfolio allocation based on cross-sector information contagion
Hideto Shigemoto1 Group Risk Management Department, Nomura Holdings, Tokyo, Japan
https://orcid.org/0000-0003-0861-4528View further author information
https://orcid.org/0000-0003-0861-4528View further author information & Takayuki Morimoto2 Department of Mathematical Sciences, Kwansei Gakuin University, Sanda, Hyogo, JapanCorrespondence[email protected]
https://orcid.org/0000-0001-8035-3276View further author information
https://orcid.org/0000-0001-8035-3276View further author information