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This document summarizes a study that investigates optimal allocation of funds between US and Japanese assets when asset risk parameters vary over time. It models the evolution of the returns covariance matrix using ARCH/GARCH models and uses the estimated time-varying covariance matrices to analyze optimal asset allocation portfolios. The study finds substantial time variation in returns variances and correlations. It allows for international diversification and hedging of currency risk to determine their

Author

peerapong1982

Language

EN