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Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models
Colon, James - 2013
Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...
Persistent link: https://www.econbiz.de/10013086014
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BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept
Stavroyiannis, Stavros - 2013
Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...
Persistent link: https://www.econbiz.de/10013072719
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Does Extreme Correlation Matter in Global Equity Asset Allocation?
Solnik, Bruno - 2018
Global asset allocation provides risk diversification. But international market correlation increases sharply during … global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the … asset allocation implications. The model can quickly detect crises and suggests adapting allocation for changing correlation …
Persistent link: https://www.econbiz.de/10012927418
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
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The role of precious metals in portfolio diversification during the Covid19 pandemic : a wavelet-based quantile approach
Alqaralleh, Huthaifa; Canepa, Alessandra - 2021
Persistent link: https://www.econbiz.de/10013167223
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Investor Clienteles and Habitat-Based Return Comovements
Kumar, Alok - 2010
This study investigates whether retail and institutional investors concentrate their trading among certain stock categories (i.e., habitats) and whether their trading activities generate return comovements among stocks within those habitats. Our results indicate that both retail and...
Persistent link: https://www.econbiz.de/10013151103
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2010
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...
Persistent link: https://www.econbiz.de/10013151357
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Volatility, Time Varying Correlation and International Portfolio Diversification : An Empirical Study of Australia and Emerging Markets
Gupta, Rakesh - 2010
estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if …
Persistent link: https://www.econbiz.de/10013152875
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Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps
Ma, Tongshu - 2002
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...
Persistent link: https://www.econbiz.de/10012787232
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Stock-Bond Correlation and Duration Risk Allocation
Xinyi, Liu - 2017
) stock-bond correlation forecasts falling 10 -year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive … markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2 …
Persistent link: https://www.econbiz.de/10012960036