Many studies show that international correlations have changed over time. This phenomenon has modified the practices of many portfolio managers, which are now preferably linked with sector behaviour. In order to prove the benefits of this management style, some new evidence is provided for correlation dynamics among geographic areas and business sectors. The concept of semi-correlation is applied to asset allocation in order to compare whether it applies efficiently to sectors and countries. The paper shows that use of semi-correlations has the potential both to improve expected return and to reduce volatility.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 11 (2005) Issue (Month): 3 (June) Pages: 271-281 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF