The Relevance of Market Correlation for the Portfolio Selection - An Individual Investor Long Term Perspective
This paper applies BEKK-type model to explain the interdependence between markets that might be relevant to a Polish individual saving for retirement. The investor is assumed to look for cross-country and cross-asset diversification of the long-term investment yielding the optimal portfolio, with p...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SGH Warsaw School of Economics, Collegium of Economic Analysis
2023-03-01
|
| Series: | Econometric Research in Finance |
| Subjects: | |
| Online Access: | https://www.erfin.org/journal/index.php/erfin/article/view/160 |