Spillovers and Asset Allocation
نویسندگان
چکیده
There is a large and growing literature on spillovers but no study that systematically evaluates the importance of for portfolio management. This paper provides such an analysis demonstrates are fully embedded in estimates expected returns, variances, correlations estimation not necessary asset allocation. Simulations typical empirical spillover settings further show same-frequency often negligible spurious.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14080345