Many studies show that international correlations have changed over time. This phenomenon has modified the practices of many portfolio managers, which are now preferably linked with sector behaviour. In order to prove the benefits of this management style, some new evidence is provided for correlation dynamics among geographic areas and business sectors. The concept of semi-correlation is applied to asset allocation in order to compare whether it applies efficiently to sectors and countries. The paper shows that use of semi-correlations has the potential both to improve expected return and to reduce volatility.

Gabbi, G. (2005). Semi-Correlations as a Tool for Geographical and Industrial Asset Allocation. EUROPEAN JOURNAL OF FINANCE, 11(3), 63-81 [10.1080/13518470500039220].

Semi-Correlations as a Tool for Geographical and Industrial Asset Allocation

GABBI, GIAMPAOLO
2005

Abstract

Many studies show that international correlations have changed over time. This phenomenon has modified the practices of many portfolio managers, which are now preferably linked with sector behaviour. In order to prove the benefits of this management style, some new evidence is provided for correlation dynamics among geographic areas and business sectors. The concept of semi-correlation is applied to asset allocation in order to compare whether it applies efficiently to sectors and countries. The paper shows that use of semi-correlations has the potential both to improve expected return and to reduce volatility.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11365/37191
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