dc.contributor.author | Otranto, Edoardo | de |
dc.date.accessioned | 2011-03-17T02:31:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:07Z | |
dc.date.available | 2012-08-29T23:07:07Z | |
dc.date.issued | 2010 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/23319 | |
dc.description.abstract | The asset allocation decision is often considered as a trade-off between maximizing the expected return of a portfolio and minimizing the portfolio risk. The riskiness is evaluated in terms
of variance of the portfolio return, so that it is fundamental to consider correctly the variance of its components and their correlations. The evidence of the heteroskedastic behavior of the
returns and the time-varying relationships among the portfolio components have recently shifted attention to the multivariate GARCH models with time varying correlation. In this work we insert
a particular Markov Switching dynamics in some Dynamic Correlation models to consider the abrupt changes in correlations affecting the assets in different ways. This class of models is very general
and provides several specifications, constraining some coefficients. The models are applied to solve a sectorial asset allocation problem and are compared with alternative models. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Markov chain; Multivariate GARCH; Portfolio performance; Switching parameters; Volatility | |
dc.title | Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 10 | de |
dc.publisher.country | GBR | |
dc.source.issue | 3 | de |
dc.subject.classoz | Basic Research, General Concepts and History of Economics | en |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-233196 | de |
dc.date.modified | 2011-03-17T16:55:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 325-338 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 10901 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680902856515 | de |
dc.subject.methods | theory formation | en |
dc.subject.methods | Theoriebildung | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 16 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |