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- W4313442857 abstract "This paper investigates the asymmetric impact of global economic policy uncertainty (GEPU) on global asset allocation. We employ the Double Asymmetric GARCH-MIDAS (DAGM) model to examine the asymmetric effect of GEPU shocks on long-term volatilities of global equities, bonds, commodities, clean energy and Bitcoin. The GEPU-based volatility is used as a proxy for the uncertainty of the investor’s views in the Black-Litterman (BL) framework. Empirical results show that the BL model with GEPU-based views yields higher out-of-sample risk-adjusted returns than other traditional benchmarks in most cases. The findings suggest that investors should consider the influence of GEPU when making portfolio decisions." @default.
- W4313442857 created "2023-01-06" @default.
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- W4313442857 date "2023-03-01" @default.
- W4313442857 modified "2023-10-06" @default.
- W4313442857 title "The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach" @default.
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- W4313442857 doi "https://doi.org/10.1016/j.irfa.2022.102476" @default.
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