Diversification effects between stock indices

dc.contributor.author	Bissantz, Kathrin
dc.contributor.author	Bissantz, Nicolai
dc.contributor.author	Ziggel, Daniel
dc.date.accessioned	2010-12-01T13:54:09Z
dc.date.available	2010-12-01T13:54:09Z
dc.date.issued	2010-12-01
dc.description.abstract	During the World Financial Crisis it became obvious that classical models of portfolio theory significantly under-estimated risks, especially with regard to stocks. Instabilities of correlations and volatilities, the relevant parameters characterizing risk, led to overestimation of diversification effects and consequently to under-estimation of risks. In this article, we analyze diversification effects concerning stocks during different market periods of the previous decade. We show that parameters and risks significantly change with market periods and find that the impact of fluctuations and estimation errors is 5 times larger for volatilities than for correlations. Moreover, it turns out that diversification between sectors is more efficient than diversification between countries.	en
dc.identifier.uri	http://hdl.handle.net/2003/27518
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15904
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823 ; 46/2010
dc.subject	Model Evaluation	en
dc.subject	Portfolio Optimization	en
dc.subject	Risk Management	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Diversification effects between stock indices	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

Files

Now showing 1 - 1 of 1

Now showing 1 - 1 of 1