On the Benefits of Equicorrelation for Portfolio Allocation

DOI10.1002/for.2357zbMath1397.62205OpenAlexW2107907217WikidataQ130527830 ScholiaQ130527830MaRDI QIDQ4687562

A. E. Clements, Ayesha Scott, Annastiina Silvennoinen

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2357

zbMATH Keywords

correlationvolatilityportfolio managementmultivariate GARCHcorrelation matrix for large-dimensional problemslarge-dimensional multivariate problems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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