Asset allocation with correlation: a composite trade-off

DOI10.1016/J.EJOR.2017.04.015MaRDI QIDQ1683161zbMATH OpenOpenAlexFDO

Authors Rachael Carroll, Thomas Conlon, John Cotter, Enrique Salvador

Publication date 6 December 2017

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.04.015

zbMATH Keywords

optimizationdynamic correlationasset allocationdecision analysisrebalancing and transaction costs

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Recommendations

• Large-scale portfolio allocation under transaction costs and model uncertainty
• On the benefits of equicorrelation for portfolio allocation
• Optimal allocation of trend following strategies
• Long-run wavelet-based correlation for financial time series
• Asset allocation with time series momentum and reversal

Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• Bayesian estimation of the global minimum variance portfolio
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Direct shrinkage estimation of large dimensional precision matrix
• Dominating estimators for minimum-variance portfolios
• Dynamic asset allocation for varied financial markets under regime switching framework
• Dynamic portfolio optimization with transaction costs and state-dependent drift
• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• Is the predictability of emerging and developed stock markets really exploitable?
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• More possessions, more worry
• On loss functions and ranking forecasting performances of multivariate volatility models
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio rebalancing model using multiple criteria
• Portfolio selection in stochastic markets with HARA utility functions
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
• The Stationary Bootstrap
• Theoretical and empirical estimates of mean-variance portfolio sensitivity

Cited in

(12)

• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• Long horizon predictability: an asset allocation perspective
• Optimal allocation of trend following strategies
• Long-run wavelet-based correlation for financial time series
• Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
• An omega portfolio model with dynamic return thresholds
• Integrated dynamic models for hedging international portfolio risks
• Minimum Rényi entropy portfolios
• Portfolio optimization based on negative correlation ensemble learning
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• On the benefits of equicorrelation for portfolio allocation
• Estimation of the global minimum variance portfolio in high dimensions

This page was built for publication: Asset allocation with correlation: a composite trade-off

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1683161)