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| Tekijä: | Jacquier, E. Marcus, A. J. |
| Otsikko: | Asset Allocation Models and Market Volatility |
| Lehti: | Financial Analysts' Journal
2001 : MAR-APR, VOL. 57:2, p. 16-31 |
| Asiasana: | ASSETS ALLOCATION VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | Asset allocation and risk management models assume at least short-term stability of the covariance structure of asset returns, but actual covariance and correlation relationships fluctuate dramatically. The authors propose a framework to both explain these phenomena and to predict changes in correlation structure. The authors model correlations between assets as resulting from the common dependence of returns on a marketwide factor. The authors report that a large portion of the variation in correlation structures can be attributed to variation in market volatility. Moreover, market volatility contains enough predictability to construct useful forecasts of covariance. |
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