Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK

M. Giliberto, F. Hamelink, Martin Hoesli and B. Macgregor

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

Keywords: PORTFOLIO; RISK; EVALUATION (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:96.12

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