Time-varying correlations between asset returns and implications to risk management.
This paper studies the quarterly and overall performances of equal-weighted portfolios created through the removal of an asset with high correlation in each quarter based on different criteria, and that of minimum-variance portfolios with and without short-sale constraints as an alternative strategy...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/46356 |