{"id":9409,"date":"2022-07-27T07:05:19","date_gmt":"2022-07-27T07:05:19","guid":{"rendered":"https:\/\/depocen.org\/publications\/diversification-benefits-and-strategic-portfolio-allocation-acrossasset-classes-the-case-of-the-us-markets\/"},"modified":"2022-07-27T07:05:19","modified_gmt":"2022-07-27T07:05:19","slug":"diversification-benefits-and-strategic-portfolio-allocation-acrossasset-classes-the-case-of-the-us-markets","status":"publish","type":"publications","link":"https:\/\/depocen.org\/en\/publications\/diversification-benefits-and-strategic-portfolio-allocation-acrossasset-classes-the-case-of-the-us-markets\/","title":{"rendered":"Diversification benefits and strategic portfolio allocation across\r\nasset classes: the case of the US markets"},"content":{"rendered":"<p>We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our<br \/>\nresults from applying the principal component analysis (PCA) show that although there is an increasing trend in<br \/>\nmarket integration, five major financial markets (equities, bonds, currencies, commodities, and real estate) appear to<br \/>\nbe weakly and at most moderately integrated. Applying the mean-variance portfolio simulations and out-of-sample<br \/>\nanalysis to evaluate the benefits of diversification, we find that adding new asset classes such as oil, precious metals,<br \/>\ncurrency, and real estate into a traditional portfolio of stocks and bonds significantly improves its risk-adjusted<br \/>\nperformance. Diversification benefit is low during contagion periods defined as a period when correlation of<br \/>\nresiduals from PC regression is significantly different from zero. Nonetheless, an additional gain from<br \/>\ndiversification is greater during contagion periods than normal periods. Bonds provide the best hedge during<br \/>\ncontagion periods whereas stocks perform the best during normal periods.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1564,1566,1567,1569,2026,2027],"topic_publications":[],"class_list":["post-9409","publications","type-publications","status-publish","hentry","author_publications-mohamed-el-hedi-arouri","author_publications-duc-khuong-nguyen","author_publications-mohamed-el-hedi-arouri-en","author_publications-duc-khuong-nguyen-en","author_publications-kuntara-pukthuanthong","author_publications-kuntara-pukthuanthong-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/9409","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=9409"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=9409"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=9409"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=9409"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}