(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation

By Andrew J. Patton. 2002

260 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/20d0565ab89a0a7ccaaf6bba5d5a404c081314fd

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Citations in the corpus

The Advent of Copulas in Finance (2009, background): “For example, the paper by Patton (2004) on bivariate equity portfolio management falls in this category.”
Do stocks outperform Treasury bills? (2018, background): “That individual stock returns are positively skewed, and that skewness declines as portfolios are diversified, has been recognized at least since Simkowitz and Beedles (1978). The model of Krauss and Litzenberger (1976) implies a negative return premium for the coskewness of stock returns with marke”
Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries (2005, background): “In a recent paper, Patton (2004) also analyzes the use of asymmetric dependence among stocks; that is, the fact that stocks are more highly correlated during market downturns.”
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009, methodology): “In this sense, Patton (2004) uses a bivariate copula model to show the empirical importance of asymmetries in asset allocation.”
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “Furthermore, several authors find evidence of asymmetry in the dependence between stock market returns (Longin and Solnik, 2001; Ang and Bekaert, 2002; Ang and Chen, 2002; Das and Uppal, 2004; Patton, 2004; Hong et al., 2007) and between exchange rate returns (Beine, 2004; Li, 2011).”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, background): “Such asymmetries in equity return dependence structures have recently been reported in the finance literature, see Longin and Solnik (2001), Ang and Chen (2002) and Patton (2004), and so the Student’s t copula may also be too restrictive to provide a reasonable fit to equity data.”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “The large number of parameters makes it difficult to find the numerical maximum of the likelihood function (Patton, 2004, 2006).”