Testing and Valuing Dynamic Correlations for Asset Allocation
- 1 April 2006
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 24 (2) , 238-253
- https://doi.org/10.1198/073500106000000017
Abstract
We evaluate alternative models of variances and correlations with an economic loss function. We construct portfolios to minimize predicted variance subject to a required return. It is shown that th...Keywords
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