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

asset allocationdecision analysisdynamic correlationoptimizationrebalancing and transaction costs

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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Cites work

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• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
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• 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
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• 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
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• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio rebalancing model using multiple criteria
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• 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

(16)

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

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