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dc.contributor.authorBoon, Ling-Ni
dc.contributor.authorIelpo, Florian
dc.date.accessioned2014-06-30T10:41:27Z
dc.date.available2014-06-30T10:41:27Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13625
dc.language.isoenen
dc.subjectSujet Studiesen
dc.subjectCommodity pricesen
dc.subjectPortfolio investmentsen
dc.subjectRecessionsen
dc.subjectTreasury bondsen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleDetermining the Maximum Number of Uncorrelated Strategies in a Global Portfolioen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWhat is the optimal number of uncorrelated strategies to include in a portfolio consisting of cross-asset strategies? Various criteria have been proposed for finding the optimal number of factors in a factor model, many of them in the framework of Principal Component Analysis. Using a refined information criterion, the authors estimate the number of factors associated with various asset classes. In the case of U.S. Treasury Bonds, the authors find the usual three factors, related to level, slope, and term spread, while credit spreads are affected by just one factor. Commodity prices are affected by two common factors, and currencies by only one. Bringing all these assets together, the authors find that a total of five factors are at work. The authors identify and interpret these factors, and investigate their stability over time by testing the significance of the correlations among the factors over a rolling window. During recessions, the number of uncorrelated strategies drops for U.S. Treasury Bond rates. For commodities, however, the concentration of correlation is weaker. This provides evidence to support their diversification potential, even during economic downturns.en
dc.relation.isversionofjnlnameThe Journal of Alternative Investments
dc.relation.isversionofjnlvol16en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages8-27en
dc.relation.isversionofdoihttp://dx.doi.org/10.3905/jai.2014.16.4.008en
dc.relation.isversionofjnlpublisherEuromoney Trading Limiteden
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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