Time-varying correlations between asset returns and implications to risk management.

• Main Author: Liao, Fengyi.
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Asset allocation; DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/46356
• Institution: Nanyang Technological University

This paper studies the quarterly and overall performances of equal-weighted portfolios created through the removal of an asset with high correlation in each quarter based on different criteria, and that of minimum-variance portfolios with and without short-sale constraints as an alternative strategy...