Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258449 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 8 [Article No.:] 345 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-31
Publisher: 
MDPI, Basel
Abstract: 
There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and correlations and that estimation of spillovers is not necessary for asset allocation. Simulations of typical empirical spillover settings further show that same-frequency spillovers are often negligible and spurious.
Subjects: 
asset allocation
portfolio optimization
return spillovers
spillover
volatility spillovers
JEL: 
C32
C58
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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