Asset allocation, limited participation and <scp>flight‐to‐quality</scp> under ambiguity of correlation-Reference-Cited by-同舟云学术

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Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation

Published:2022-07-07 Issue: Volume: Page:
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int. J Fin Econ

Author:

Huang Helen Hui¹^ORCID,Wang Yanjie²^ORCID,Zhang Shunming³^ORCID

Affiliation:

1. Faculty of Business Administration University of Regina Regina Saskatchewan Canada

2. School of Finance Southwestern University of Finance and Economics Chengdu China

3. China Financial Policy Research Center and School of Finance Renmin University of China Beijing China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2668

Reference45 articles.

1. Are correlations constant? Empirical and theoretical results on popular correlation models in finance

2. Investor sentiment, flight-to-quality, and corporate bond comovement

3. When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns

4. Correlation Risk and Optimal Portfolio Choice

5. Do U.S. investors worry about fear in international equity markets? Empirical evidence on dynamic panel data

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