Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.

Giliberto, Michael; Hamelink, Foort; Hoesli, Martin; D. Macgregor, Bryan

doi:10.1080/10835547.1999.12089565

Public

Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.

Shared by NobleBlocks on Jan 1, 1999 • 12:00 AM UTC

Authors:

Michael Giliberto

Foort Hamelink

Martin Hoesli

Abstract

Executive Summary. In this article, portfolio allocation strategies based on a threshold autoregressive conditional heteroskedasticity model (QTARCH) are constructed for the United States and the United Kingdom and compared to a conventional asset allocation. Our procedure is based on partitioning t...

Subject

Econometrics

Heteroscedasticity

Economics

Finding related papers...

Discussions

(0)

No comments yet

Be the first to share your thoughts!