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| Tekijä: | Gabbi, G. |
| Otsikko: | Semi-correlations as a tool for geographical and sector asset allocation |
| Lehti: | European Journal of Finance
2005 : JUN, VOL 11:3, p. 271-281 |
| Asiasana: | Portfolio management Assets Networks |
| Kieli: | eng |
| Tiivistelmä: | It is shown by research that international correlations (here as: corr./corrs.) have changed over time. This phenomenon has modified the practices of many portfolio managers. To prove the benefits of the management style, some new evidence is provided for corr. dynamics among geographic areas and business sectors. The concept of semi-corr. is applied to asset allocation to compare whether it applies efficiently to sectors and countries. The paper shows that use of semi-corrs. has the potential both to improve expected return and to reduce volatility. |
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