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When Diversification Fails
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AI
DOI：10.2469/faj.v74.n3.3.png)
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摘要
En 中文
One of the most vexing problems in investment management is that diversification seems to disappear when investors need it the most. We surmise that many investors still do not fully appreciate the impact of extreme correlations on portfolio efficiency in particular, on exposure to loss. We take an in-depth look at what drives the stock-to-credit, stock-to-hedge fund, stock-to-private asset, stock-to-risk factors, and stock-to-bond correlations during tail events. We introduce a data-augmentation technique to improve the robustness of tail correlation estimates. Finally, we discuss implications for multi-asset investing.
Keyword:
MARKOV-SWITCHING MODEL
ASSET ALLOCATION
TIME-SERIES
INFLATION RATES
BUSINESS-CYCLE
REGIME SHIFTS
RISK-FACTORS
STOCK
PORTFOLIOS
DEPENDENCE
AI总结
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期刊
F
IF:
2.2
论文数:
1.2K
被引数:
3.1K
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