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...

The goal of this paper is to present an original and simple analysis aimed to understand why investing in capital markets can be very dangerous for “naive investors”. Stock markets are characterized by instability and subjected to external shocks. The probability of making money on them is...

This paper studies the impact of changes in the dynamic of 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 global...