Global Asset Allocation with Time-varying Risk
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- Thomas J. Flavin & Michael R. Wickens, 1998. "Optimal International Asset Allocation and Home Bias," Economics Department Working Paper Series n841298, Department of Economics, National University of Ireland - Maynooth.
- Thomas J. Flavin & Michael R. Wickens, 1998.
": A Risk Management Approach to Optimal Asset Allocation,"
Economics Department Working Paper Series
n851298, Department of Economics, National University of Ireland - Maynooth.
- Thomas J. Flavin & Michael R. Wickens, 2001. "A Risk Management Approach to Optimal Asset Allocation," Economics Department Working Paper Series n1080301, Department of Economics, National University of Ireland - Maynooth.
- Andrew Clark, 2005. "The use of Hurst and effective return in investing," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 1-8.
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More about this item
Keywords
Asset allocation; international diversification; M-GARCH;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2001-10-01 (Financial Markets)
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