Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - 2022
across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset … asset portfolios, with a particular focus on the volatility of these portfolios and their systematic risk exposure …. Interestingly, the ability to diversify country asset-specific risk and hedge systematic risk is greatly reduced during the peak of …
