eprintid: 23231
rev_number: 16
eprint_status: archive
userid: 3114
dir: disk0/00/02/32/31
datestamp: 2017-07-14 10:42:02
lastmod: 2017-07-18 13:25:04
status_changed: 2017-07-14 10:42:02
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Stuermer, Karin
title: On the economic determinants of optimal stock-bond portfolios: international evidence
subjects: ddc-330
divisions: i-181000
cterms_swd: stock-bond correlation
cterms_swd: DCC
cterms_swd: DCC-MIDAS
cterms_swd: survey data
cterms_swd: macro expectations
cterms_swd: forecasting
cterms_swd: portfolio choice
cterms_swd: asset allocation
abstract: Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well as a flight-to-safety during times of stress in financial markets. Based on the new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark  portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and trading costs can be substantially reduced when switching to optimal monthly weights.
date: 2017-07-14
id_scheme: DOI
id_number: 10.11588/heidok.00023231
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0636
ppn_swb: 1659372623
own_urn: urn:nbn:de:bsz:16-heidok-232315
language: eng
bibsort: CONRADCHRIONTHEECONO20170714
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0636
place_of_pub: Heidelberg
citation:   Conrad, Christian ; Stuermer, Karin  (2017) On the economic determinants of optimal stock-bond portfolios: international evidence.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/23231/1/__ad.uni-heidelberg.de_wiso_u.arnold_Desktop_dp636.pdf