Asset allocation with correlation: a composite trade-off

DOI10.1016/J.EJOR.2017.04.015zbMATH Open1375.90147OpenAlexW2607455059MaRDI QIDQ1683161FDOQ1683161

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

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zbMATH Keywords

optimizationdynamic correlationasset allocationdecision analysisrebalancing and transaction costs

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Cites Work

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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

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