Liew, Jim Kyung-Soo; Ajakh, Ahmad - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-6
In this study we examine the volatility-adjusted 60/40 rule at the individual company level. We document that strong diversification benefits exist over the long-term, and that both the equity and corporate bonds exhibit positive expected drifts. For our sample of 30 large-cap companies, given...