Correlation Timing of Sector Allocations
June 6, 2012 - Strategic Allocation
Can reacting to short-term changes in asset return correlations improve efficient portfolio allocation? In their May 2012 paper entitled “The Role of Correlation Dynamics in Sector Allocation”, Elena Kalotychou, Sotiris Staikouras and Zhao Gang investigate the economic value of correlation timing in mean-variance optimal sector allocations. They test the usefulness of several correlation forecast methods by constructing dynamic,… Keep Reading