This paper assesses the role of correlation dynamics in mean-variance sector allocation. A correlation timing framework is deployed to evaluate dynamic strategies against a static constant covariance strategy and the nonparametric RiskMetrics covariance model. We find using sector portfolios in...

The current study points out that the derivation of the aggregate demand curve based on theory of consumer behavior has a fundamental flaw, from which the Giffen product has to be inferior good and has been always regarded as an exception of law of demand is therefore not convincing. The current...

The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and...

Aiming at the wrong recognition over one century that Giffen goods are special examples of demand law and Giffen goods are rare, this paper strictly proves that the demand curve of any Giffen goods can only slopes lower right and any commodity that complies with the demand law would probably...