Asset Allocation Models and Market Volatility

Financial Analysts Journal

Volumn 57, Issue 2, 2001, Pages 16-30

  Jacquier, Eric ^a   Marcus, Alan J ^a  

^a NONE

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[No Author keywords available]

Indexed keywords

EID: 0344064171     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n2.2430     Document Type: Article

References (10)

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4. Jacquier, E., and A.J. Marcus. 2000. "Market Volatility and Asset Correlation Structure." Working paper, Boston College (January).
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6. Reilly, F.K., and K.C. Brown. 2000. Investment Analysis and Portfolio Management. 6th ed. Ft. Worth, TX: Dryden Press.
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8. Sharpe, W.F., G.J. Alexander, and J.V. Bailey. 1999. Investments. 6th ed. Upper Saddle River, NJ: Prentice Hall.
9. Solnik, B., C. Boucrelle, and Y. Le Fur. 1996. "International Market Correlation and Volatility." Financial Analysts Journal, vol. 52, no. 5 (September/October):7-34.
10. Taylor, S. 1986. Modeling Financial Time Series. New York: John Wiley & Sons.