Academic Journal
Spillovers and asset allocation
| العنوان: | Spillovers and asset allocation |
|---|---|
| المؤلفون: | Lai Trung Hoang, Baur, Dirk G. |
| بيانات النشر: | MDPI |
| سنة النشر: | 2021 |
| المجموعة: | EconStor (German National Library of Economics, ZBW) |
| مصطلحات موضوعية: | ddc:330, C32, C58, G11, asset allocation, portfolio optimization, return spillovers, spillover, volatility spillovers |
| الوصف: | There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and correlations and that estimation of spillovers is not necessary for asset allocation. Simulations of typical empirical spillover settings further show that same-frequency spillovers are often negligible and spurious. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 1911-8074 |
| Relation: | gbv-ppn:1772213640; Journal: Journal of Risk and Financial Management; Volume: 14; Year: 2021; Issue: 8; Pages: 1-31; Basel: MDPI; http://hdl.handle.net/10419/258449 |
| DOI: | 10.3390/jrfm14080345 |
| الاتاحة: | http://hdl.handle.net/10419/258449 https://doi.org/10.3390/jrfm14080345 |
| Rights: | https://creativecommons.org/licenses/by/4.0/ |
| رقم الانضمام: | edsbas.2CFE62FE |
| قاعدة البيانات: | BASE |
Full Text Finder | تدمد: | 19118074 |
|---|---|
| DOI: | 10.3390/jrfm14080345 |