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Equity portfolio diversification under time-varying predictability and comovements : evidence from Ireland, the US, and the UK
Guidolin, Massimo (contributor); Hyde, Stuart (contributor) - 2008
Persistent link: https://www.econbiz.de/10003741399
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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - 2010
Persistent link: https://www.econbiz.de/10008668594
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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …-Variance Optimization ; Asset Allocation ; International Portfolio Diversification. …
Persistent link: https://www.econbiz.de/10008990692
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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - In: The journal of asset management 12 (2011) 5, pp. 322-349
Persistent link: https://www.econbiz.de/10009377003
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Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence
Guidolin, Massimo - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …
Persistent link: https://www.econbiz.de/10013135227
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Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence
Guidolin, Massimo - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …
Persistent link: https://www.econbiz.de/10013136630
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Diversifying in public real estate: the ex-post performance
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - In: The journal of asset management 8 (2007/08) 6, pp. 361-373
Persistent link: https://www.econbiz.de/10003632521
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Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model
Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006
We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...
Persistent link: https://www.econbiz.de/10005869997
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Time and Risk Diversification in Real EstateInvestments: Assessing the Ex Post EconomicValue
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Manchester Business School - 2009
Welfare gains to long-horizon investors may derive from time diversification that exploits non-zerointertemporal return … correlated. While it could be important for long horizon investors,time diversification has been mostly investigated in asset … diversification when E-REITs belong to theinvestment opportunity set. We find that diversification into REITs increases both the …
Persistent link: https://www.econbiz.de/10005870699
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International asset allocation under regime switching, skew and kurtosis preferences
Guidolin, Massimo; Timmermann, Allan - In: The review of financial studies 21 (2008) 2, pp. 889-935
Persistent link: https://www.econbiz.de/10003716663