Modeling conditional covariance for mixed-asset portfolios

This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of statistical and economic criteria are considered. The optimal estimator to use is found to depend on the evaluation criterion under consideration.

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Year of publication:	2014
Authors:	Zhou, Jian
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 40.2014, C, p. 242-249
Publisher:	Elsevier
Subject:	Mixed-asset portfolio \| Conditional covariance \| Forecast \| Portfolio diversification \| Risk management

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010781953