: A Risk Management Approach to Optimal Asset Allocation

Preprint OPEN
Thomas J. Flavin; Michael R. Wickens;
  • Subject: Asset allocation, macroeconomic effects, M-GARCH | Risk management,asset allocation,GARCH
    • jel: jel:G1 | jel:G11

This paper extends the tactical asset allocation strategy of Flavin and Wickens(1998) to incorporate the effects of macroeconomic variables in the analysis. Using a VAR in mean with a M-GARCH error structure, we can jointly model financial asset returns and macroeconomi... View more
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