|Publication type:||Article in scientific journal|
|Type of review:||Peer review (publication)|
|Title:||Handling risk-on/risk-off dynamics with correlation regimes and correlation networks|
|Published in:||Financial Markets and Portfolio Management|
|Publisher / Ed. Institution:||Springer|
|Subjects:||Asset management; Correlation; FinTech; Managed future|
|Subject (DDC):||332: Financial economics|
|Abstract:||In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were previously; cluster tracking shows that asset classes are now less separated. We identify distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing, we quantify these observations using suitable metrics for the clusters and correlation networks. The framework will be useful for financial risk management, portfolio construction, and asset allocation.|
|Fulltext version:||Published version|
|License (according to publishing contract):||Licence according to publishing contract|
|Departement:||School of Management and Law|
|Organisational Unit:||Institute of Wealth & Asset Management (IWA)|
|Appears in collections:||Publikationen School of Management and Law|
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