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- W2249037233 abstract "The importance of modelling correlation has long been recognised in the field of portfolio management, with largedimensionalmultivariate problems increasingly becoming the focus of research. This paper provides a straightforwardand commonsense approach toward investigating a number of models used to generate forecasts of the correlationmatrix for large-dimensional problems.We find evidence in favour of assuming equicorrelation across various portfoliosizes, particularly during times of crisis. During periods of market calm, however, the suitability of the constantconditional correlation model cannot be discounted, especially for large portfolios. A portfolio allocation problem is used to compare forecasting methods. The global minimum variance portfolio and Model Confidence Set are used to compare methods, while portfolio weight stability and relative economic value are also considered." @default.
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- W2249037233 date "2015-09-01" @default.
- W2249037233 modified "2023-09-26" @default.
- W2249037233 title "On the benefits of equicorrelation for portfolio allocation" @default.
- W2249037233 hasPublicationYear "2015" @default.
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