Behavior of Covariance Matrices with Equi-Correlation Approach

R. Reytier (), A. Blanes (), Q. Gaucher (), S. Thiam () and P. Debled ()
Additional contact information
R. Reytier: ECE, Graduate School of Engineering, Paris
A. Blanes: ECE Graduate School of Engineering, Paris
Q. Gaucher: ECE, Graduate School of Engineering, Paris
S. Thiam: ECE, Graduate School of Engineering, Paris
P. Debled: ECE, Graduate School of Engineering, Paris

No 2805027, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: Funds and asset managers are increasingly concerned with quantitative and econometric model in order to apply their portfolio models. The main goal of this publication is to study the behavior and the proportions of a stock portfolio from CAC All-Tradable with these kinds of models and compare the results with the historical approach. A GARCH (1,1) process has been used for modelling each asset volatility and Engle dynamic equi-correlation model to forecast covariance matrices. From a small amount of underlying values, the question is raised whether forecasted covariance matrix is more relevant than traditional variance-covariance matrix in a context of minimum variance portfolio model.

Keywords: Volatility - Correlation ? Equi-Correlation - GARCH (1; 1) - Portfolio Selection - Asset Allocation- Covariance Matrix ? Minimum Variance Portfolio. (search for similar items in EconPapers)
JEL-codes: C02 C40 G11 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2015-10
References: View references in EconPapers View complete reference list from CitEc
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Published in Proceedings of the Proceedings of the 19th International Academic Conference, Florence, Oct 2015, pages 730-736

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