Abstract
Financial markets are highly interdependent and for many decades portfolio managers have scrutinised the comovements between markets. It is regrettable, however, that traditional quantitative portfolio construction still heavily relies on the analysis of correlations for modelling the complex interdependences between financial assets. Admittedly, the application of the concept of correlation has been improved and, over the last ten years, following the generalised use of the JP Morgan (1994) RiskMetrics approach, quantitative portfolio managers have made increasing use of conditional correlations.
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Dunis, C.L., Ho, R. (2016). Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies. In: Satchell, S. (eds) Asset Management. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-30794-7_9
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DOI: https://doi.org/10.1007/978-3-319-30794-7_9
Publisher Name: Palgrave Macmillan, Cham
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