| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3130 |
| DP3130 Capital Redistribution and the Market Allocation of Firm-Ownership | |
| Hans Peter Grüner; Ruediger Schils | |
| 发表日期 | 2002 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We develop a tactical asset allocation strategy that incorporates the effects of macroeconomic variables. The joint distribution of financial asset returns and the macroeconomic variables is modelled using a VAR with an M-GARCH error structure. As a result the portfolio frontier is time varying and subject to contagion from the macroeconomic variable. Optimal asset allocation requires that this be taken into account. We illustrate the how to do this using three risky UK assets and inflation as a macroeconomic factor. Taking account of inflation generates portfolio frontiers that lie closer to the origin, and offers investors superior risk-return combinations. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset allocation Macroeconomic effects Multivariate garch |
| URL | https://cepr.org/publications/dp3130 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532152 |
| 推荐引用方式 GB/T 7714 | Hans Peter Grüner,Ruediger Schils. DP3130 Capital Redistribution and the Market Allocation of Firm-Ownership. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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