English, Article, Journal or magazine article edition: Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis Giulio PALOMBA

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/19129
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
Author
  • Giulio PALOMBA
Physical Description
  • preprint
Notes
  • In a typical tactical asset allocation set up managers generally make their investment decisions by inserting private information in an optimisation mechanism used to beat a benchmark portfolio; in this context the sole approach a' la Markowitz (1959) does not use all the available information about expected excess return and especially it does not take two main factors into account: first, asset returns often show changes in volatility, and second, the manager's private information plays no role in the optimisation process. This paper provides an empirical work for large scale tactical asset allocation strategy in which a multivariate GARCH estimation is used in portfolio optimisation, given a tracking error constraint (Jorion, 2003). Moreover, the use of Black and Litterman (1991, 1992) approach allows for the possibility to tactically manage the selected portfolio through a very short time, combining informations taken from the time varying volatility model with some personal "view" about asset returns.
  • Black and Litterman approach, multivariate GARCH models, tactical asset allocation
  • RePEc:anc:wpaper:267
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment