Krishnan, C.N.V.; Petkova, Ralitsa; Ritchken, Peter - In: Journal of Empirical Finance 16 (2009) 3, pp. 353-367
Investors hold portfolios of assets with different risk-reward profiles for diversification benefits. Conditional on the volatility of assets, diversification benefits can vary over time depending on the correlation structure among asset returns. The correlation of returns between assets has...