Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK.

In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

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Year of publication:	1996
Authors:	Giliberto, M. ; Hamelink, F. ; Hoesli, M. ; Macgregor, B.
Institutions:	Geneva School of Economics and Management, Université de Genève
Subject:	PORTFOLIO \| RISK \| EVALUATION

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Series:	Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
Type of publication:	Book / Working Paper
Notes:	32 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634275