International asset allocation with time-varying correlations:
It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
1999
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
7056 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be characterized by correlations and volatilities that increase in bad times. We model the state dependance of US, UK, and German equity returns using a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more highly correlated and have lower means. Solving the dynamic asset allocation problem for a CCRA investor, we show international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time-varying correlations are negligible. |
| Beschreibung: | 36, [27] S. graph. Darst. |
Internformat
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| geographic | USA |
| geographic_facet | USA |
| id | DE-604.BV012690346 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:32:00Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008626386 |
| oclc_num | 41595055 |
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| physical | 36, [27] S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut International asset allocation with time-varying correlations Andrew Ang ; Geert Bekaert Cambridge, Mass. National Bureau of Economic Research 1999 36, [27] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7056 It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be characterized by correlations and volatilities that increase in bad times. We model the state dependance of US, UK, and German equity returns using a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more highly correlated and have lower means. Solving the dynamic asset allocation problem for a CCRA investor, we show international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time-varying correlations are negligible. Allocation d'actifs - États-Unis - Modèles économétriques ram Bourse - Modèles économétriques ram Couverture (finances) - Modèles économétriques ram Gestion du risque - États-Unis - Modèles économétriques ram Rentabilité - Modèles économétriques ram Ökonometrisches Modell Asset allocation United States Econometric models Hedging (Finance) Econometric models Rate of return Econometric models Risk management United States Econometric models Stock exchanges Econometric models USA Bekaert, Geert 1964- Verfasser (DE-588)128834927 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7056 (DE-604)BV002801238 7056 http://papers.nber.org/papers/w7056.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Bekaert, Geert 1964- International asset allocation with time-varying correlations National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Allocation d'actifs - États-Unis - Modèles économétriques ram Bourse - Modèles économétriques ram Couverture (finances) - Modèles économétriques ram Gestion du risque - États-Unis - Modèles économétriques ram Rentabilité - Modèles économétriques ram Ökonometrisches Modell Asset allocation United States Econometric models Hedging (Finance) Econometric models Rate of return Econometric models Risk management United States Econometric models Stock exchanges Econometric models |
| title | International asset allocation with time-varying correlations |
| title_auth | International asset allocation with time-varying correlations |
| title_exact_search | International asset allocation with time-varying correlations |
| title_full | International asset allocation with time-varying correlations Andrew Ang ; Geert Bekaert |
| title_fullStr | International asset allocation with time-varying correlations Andrew Ang ; Geert Bekaert |
| title_full_unstemmed | International asset allocation with time-varying correlations Andrew Ang ; Geert Bekaert |
| title_short | International asset allocation with time-varying correlations |
| title_sort | international asset allocation with time varying correlations |
| topic | Allocation d'actifs - États-Unis - Modèles économétriques ram Bourse - Modèles économétriques ram Couverture (finances) - Modèles économétriques ram Gestion du risque - États-Unis - Modèles économétriques ram Rentabilité - Modèles économétriques ram Ökonometrisches Modell Asset allocation United States Econometric models Hedging (Finance) Econometric models Rate of return Econometric models Risk management United States Econometric models Stock exchanges Econometric models |
| topic_facet | Allocation d'actifs - États-Unis - Modèles économétriques Bourse - Modèles économétriques Couverture (finances) - Modèles économétriques Gestion du risque - États-Unis - Modèles économétriques Rentabilité - Modèles économétriques Ökonometrisches Modell Asset allocation United States Econometric models Hedging (Finance) Econometric models Rate of return Econometric models Risk management United States Econometric models Stock exchanges Econometric models USA |
| url | http://papers.nber.org/papers/w7056.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angandrew internationalassetallocationwithtimevaryingcorrelations AT bekaertgeert internationalassetallocationwithtimevaryingcorrelations |