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- W1493670605 abstract "The expected volatilities and correlations of asset returns are a critical input in the optimal portfolio choice of a risk-averse investor. This chapter addresses an essential question that lies at the core of a long line of research in empirical finance: does volatility and correlation timing matter for the optimal asset allocation of a risk-averse investor and, if so, how? It lays out the multivariate conditional volatility and correlation models, and briefly explains the Bayesian estimation methods. The chapter discusses the framework for assessing the economic value of volatility and correlation timing for a risk-averse investor with a constant relative risk aversion (CRRA) portfolio allocation strategy. The effect of parameter uncertainty on asset allocation is also discussed, while model uncertainty and the construction of combined forecasts are described. Finally, the empirical results are reported. Controlled Vocabulary Terms active currency management; Bayesian asset allocation; constant relative risk aversion (CRRA); correlation timing; model uncertainty; parameter uncertainty; volatility" @default.
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- W1493670605 date "2012-06-14" @default.
- W1493670605 modified "2023-09-30" @default.
- W1493670605 title "Volatility and Correlation Timing in Active Currency Management" @default.
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- W1493670605 doi "https://doi.org/10.1002/9781118445785.ch15" @default.
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