Semi-correlations as a tool for geographical and sector asset allocation

Giampaolo Gabbi

The European Journal of Finance, 2005, vol. 11, issue 3, 271-281

Abstract: Many studies show that international correlations have changed over time. This phenomenon has modified the practices of many portfolio managers, which are now preferably linked with sector behaviour. In order to prove the benefits of this management style, some new evidence is provided for correlation dynamics among geographic areas and business sectors. The concept of semi-correlation is applied to asset allocation in order to compare whether it applies efficiently to sectors and countries. The paper shows that use of semi-correlations has the potential both to improve expected return and to reduce volatility.

Keywords: Asset allocation; correlation; neural networks; return forecast (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (8)

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DOI: 10.1080/13518470500039220

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