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