International asset allocation with time-varying correlations

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Ang, Andrew (VerfasserIn), Bekaert, Geert 1964- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. National Bureau of Economic Research 1999
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7056
Schlagworte:	Allocation d'actifs - États-Unis - Modèles économétriques Bourse - Modèles économétriques Couverture (finances) - Modèles économétriques Gestion du risque - États-Unis - Modèles économétriques Rentabilité - Modèles économétriques Ökonometrisches Modell Asset allocation > United States > Econometric models Hedging (Finance) > Econometric models Rate of return > Econometric models Risk management > United States > Econometric models Stock exchanges > Econometric models USA
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