International asset allocation with time-varying investment opportunities

被引：13

作者：

Timmermann, A ^{[1
]}

Blake, D

机构：

[1] Univ Calif San Diego, San Diego, CA 92103 USA

[2] Cass Business Sch, Pensions Inst, London, England

来源：

JOURNAL OF BUSINESS | 2005年 / 78卷 / 01期

关键词：

D O I：

10.1086/426520

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyzes the international equity holdings of a large panel of U. K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities, and covariances with domestic equity returns. Estimates of returns from international market timing suggest a net loss of 0.2% per annum for the average fund.

引用

页码：71 / 98

页数：28

共 29 条

[1] INTERNATIONAL PORTFOLIO CHOICE AND CORPORATION FINANCE - A SYNTHESIS [J].