Donadelli, Michael; Prosperi, Lorenzo; Romei, Federica; … - In: Rivista Bancaria - Minerva Bancaria (2013) 1-2
This paper studies the impact of changes in the dynamics ofthe correlation coefficients between asset returns on portfolio choices. Using weekly data from February 2002 to October 2011 on four different European asset classes, we obtain three main results. Firstly, we show that the 2007-2009...
