Easy, breezy, risky: Lay investors fail to diversify because correlated assets feel more fluent and less risky

2019 ◽  
Vol 153 ◽  
pp. 103-117 ◽  
Author(s):  
Yann Cornil ◽  
David J. Hardisty ◽  
Yakov Bart
Keyword(s):  
Correlated Assets

Emphasizing Low-Correlated Assets: The Volatility of Correlation

CFA Digest ◽  
2008 ◽  
Vol 38 (1) ◽  
pp. 91-91
Author(s):  
Frank T. Magiera
Keyword(s):  
Correlated Assets

Covariance estimation using random permutations

2018 ◽  
Vol 05 (01) ◽  
pp. 1850005
Author(s):  
Lakshmi Padmakumari ◽  
S. Maheswaran
Keyword(s):  
Relative Efficiency ◽  
Covariance Estimation ◽  
Point Of View ◽  
Random Permutations ◽  
Sample Period ◽  
Novel Technique ◽  
Stock Indices ◽  
Covariance Estimator ◽  
Exchange Effects ◽  
Correlated Assets

This paper explores a novel technique to compute the level of covariance between any two genuinely correlated assets by adopting the idea of random permutations by proposing an unbiased covariance estimator “[Formula: see text]” based on daily high-low prices. The main goal is to boost the relative efficiency of the estimator by increasing the number of random permutations. We validate this claim with the help of simulations later. Further, we prove theoretically and through simulations that the proposed estimator is unbiased for a pair of random walks. Upon empirically implementing the estimator in a dataset of three sets of stock indices: Nifty, FTSE100 and S&P500 after accounting for exchange effects (USDINR and GBPINR) over a sample period of 252 months (Jan 1996–Dec 2016), we do not find evidence of any bias in the estimator. Also, there is a visible asymmetry in the correlation between US-Indian markets from the two investor’s point of view.

Informed and Uninformed Trading With Correlated Assets: An Experimental Study

2018 ◽  
Vol 19 (4) ◽  
pp. 407-420
Author(s):  
Philippe Grégoire ◽  
Jonathan Coupland
Keyword(s):  
Experimental Study ◽  
Correlated Assets

The Efficient Frontier for Weakly Correlated Assets

2011 ◽  
Vol 40 (4) ◽  
pp. 355-375
Author(s):  
Michael J. Best ◽  
Xili Zhang
Keyword(s):  
Efficient Frontier ◽  
Correlated Assets

scholarly journals Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets

Computation ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 88
Author(s):  
Alexander Musaev ◽  
Dmitry Grigoriev
Keyword(s):  
Evolutionary Algorithm ◽  
Capital Markets ◽  
Asset Management ◽  
Theoretical Basis ◽  
Management Strategies ◽  
Financial Instrument ◽  
Observation Series ◽  
Estimate Quality ◽  
Correlated Assets ◽  
Instrument Observation

In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoretical basis to asset management strategies that estimate an asset’s price via regression, taking into account its correlated assets in various markets. Furthermore, we provide a way to increase the estimate quality using an evolutionary algorithm.

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