English, Article, Journal or magazine article edition: Portfolio allocation in transition economies ROCKINGER, Michael; JONDEAU, Eric

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Bookmark: http://trove.nla.gov.au/version/23119
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Portfolio allocation in transition economies
Author
  • ROCKINGER, Michael
  • JONDEAU, Eric
Physical Description
  • preprint
Notes
  • Designing an investment strategy in transition economies is a difficult task because stock-markets opened through time, time series are short, and there is little guidance how to obtain expected returns and covariance matrices necessary for mean-variance portfolio allocation. Also, structural breaks are likely to occur. We develop an ad-hoc investment strategy with a flavor of Bayesian learning. An observation is that often an extreme event will herald a new state of the economy. We use this observation to re-initialize learning when unlikely returns materialize. By using a Cornell benchmark, we are able to show the usefulness of our strategy for certain types of re-initializations.
  • mean-variance allocation; portfolio choice; transition economies
  • RePEc:ebg:heccah:0740
Language
  • English
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