Asset allocation with correlation: a composite trade-off

DOI10.1016/j.ejor.2017.04.015zbMath1375.90147OpenAlexW2607455059MaRDI QIDQ1683161

Rachael Carroll, John Cotter, Thomas Conlon, Enrique Salvador

Publication date: 6 December 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.015

zbMATH Keywords

optimizationdecision analysisasset allocationdynamic correlationrebalancing and transaction costs

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Related Items (9)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ An omega portfolio model with dynamic return thresholds ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Minimum Rényi entropy portfolios ⋮ Long horizon predictability: an asset allocation perspective ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ Long-run wavelet-based correlation for financial time series

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