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Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK

Author

Listed:
  • Giliberto, M.
  • Hamelink, F.
  • Hoesli, M.
  • Macgregor, B.

Abstract

In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

Suggested Citation

  • Giliberto, M. & Hamelink, F. & Hoesli, M. & Macgregor, B., 1996. "Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK," Papers 96.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    • Handle: RePEc:fth:ehecge:96.12
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    Citations

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    Cited by:

    1. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.

    More about this item

    Keywords

    PORTFOLIO; RISK; EVALUATION;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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