{"id":"https://openalex.org/W1519718261","doi":"https://doi.org/10.1080/10835547.1999.12089565","title":"Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.","display_name":"Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.","publication_year":1999,"publication_date":"1999-01-01","ids":{"openalex":"https://openalex.org/W1519718261","doi":"https://doi.org/10.1080/10835547.1999.12089565","mag":"1519718261"},"language":"en","primary_location":{"id":"doi:10.1080/10835547.1999.12089565","doi":"https://doi.org/10.1080/10835547.1999.12089565","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10835547.1999.12089565","pdf_url":null,"source":{"id":"https://openalex.org/S2764953858","display_name":"Journal of Real Estate Portfolio Management","issn_l":"1083-5547","issn":["1083-5547","2691-1205"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Real Estate Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=152970","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022534102","display_name":"Michael Giliberto","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210110280","display_name":"J.P. Morgan","ror":"https://ror.org/01sxmq816","country_code":"GB","type":"other","lineage":["https://openalex.org/I4210110280"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Michael Giliberto","raw_affiliation_strings":["J. P. Morgan Investment Management","J. P. Morgan Investment Management, New York, NY"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"J. P. Morgan Investment Management","institution_ids":["https://openalex.org/I4210110280"]},{"raw_affiliation_string":"J. P. Morgan Investment Management, New York, NY","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5013587529","display_name":"Foort Hamelink","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I193700539","display_name":"Tilburg University","ror":"https://ror.org/04b8v1s79","country_code":"NL","type":"education","lineage":["https://openalex.org/I193700539"]},{"id":"https://openalex.org/I4405271827","display_name":"Graduate Institute of International Studies","ror":"https://ror.org/034c28861","country_code":"CH","type":"education","lineage":["https://openalex.org/I4405271827","https://openalex.org/I951315"]},{"id":"https://openalex.org/I951315","display_name":"Graduate Institute of International and Development Studies","ror":"https://ror.org/007ygn379","country_code":"CH","type":"education","lineage":["https://openalex.org/I951315"]}],"countries":["CH","NL"],"is_corresponding":false,"raw_author_name":"Foort Hamelink","raw_affiliation_strings":["Tilburg University, Department of Finance, The Netherlands and Institut Universitaire de Hautes Etudes Internationales (HEI)","Tilburg University, Department of Finance, The Netherlands and Institut Universitaire de Hautes Etudes Internationales (HEI), Geneva, Switzerland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Tilburg University, Department of Finance, The Netherlands and Institut Universitaire de Hautes Etudes Internationales (HEI)","institution_ids":["https://openalex.org/I193700539","https://openalex.org/I4405271827","https://openalex.org/I951315"]},{"raw_affiliation_string":"Tilburg University, Department of Finance, The Netherlands and Institut Universitaire de Hautes Etudes Internationales (HEI), Geneva, Switzerland","institution_ids":["https://openalex.org/I193700539","https://openalex.org/I4405271827","https://openalex.org/I951315"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014364280","display_name":"Martin Edward Ralph Hoesli","orcid":"https://orcid.org/0000-0003-2173-1200","observed_orcids":["https://orcid.org/0000-0003-2173-1200"]},"institutions":[{"id":"https://openalex.org/I114457229","display_name":"University of Geneva","ror":"https://ror.org/01swzsf04","country_code":"CH","type":"education","lineage":["https://openalex.org/I114457229"]},{"id":"https://openalex.org/I195460627","display_name":"University of Aberdeen","ror":"https://ror.org/016476m91","country_code":"GB","type":"education","lineage":["https://openalex.org/I195460627"]}],"countries":["CH","GB"],"is_corresponding":false,"raw_author_name":"Martin Hoesli","raw_affiliation_strings":["University of Geneva, CH-1211 Geneva 4, Switzerland and University of Aberdeen, Department of Accountancy","University of Geneva, CH-1211 Geneva 4, Switzerland and University of Aberdeen, Department of Accountancy, Scotland, U.K"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Geneva, CH-1211 Geneva 4, Switzerland and University of Aberdeen, Department of Accountancy","institution_ids":["https://openalex.org/I114457229","https://openalex.org/I195460627"]},{"raw_affiliation_string":"University of Geneva, CH-1211 Geneva 4, Switzerland and University of Aberdeen, Department of Accountancy, Scotland, U.K","institution_ids":["https://openalex.org/I114457229","https://openalex.org/I195460627"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066746783","display_name":"Bryan D. Macgregor","orcid":"https://orcid.org/0000-0002-9967-7884","observed_orcids":["https://orcid.org/0000-0002-9967-7884"]},"institutions":[{"id":"https://openalex.org/I195460627","display_name":"University of Aberdeen","ror":"https://ror.org/016476m91","country_code":"GB","type":"education","lineage":["https://openalex.org/I195460627"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Bryan MacGregor","raw_affiliation_strings":["University of Aberdeen, Center for Property Research, St Mary's, King's College","University of Aberdeen, Center for Property Research, St Mary's, King's College, Scotland, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Aberdeen, Center for Property Research, St Mary's, King's College","institution_ids":["https://openalex.org/I195460627"]},{"raw_affiliation_string":"University of Aberdeen, Center for Property Research, St Mary's, King's College, Scotland, UK","institution_ids":["https://openalex.org/I195460627"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":6,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.9947,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.8979322,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"5","issue":"1","first_page":"31","last_page":"45"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8270999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8270999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.15489999949932098,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.011699999682605267,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.8410000205039978},{"id":"https://openalex.org/keywords/mixed-asset-portfolios","display_name":"mixed-asset portfolios","score":0.9829999804496765},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.6039999723434448},{"id":"https://openalex.org/keywords/out-of-sample-portfolio-performance","display_name":"out-of-sample portfolio performance","score":0.7480000257492065},{"id":"https://openalex.org/keywords/united-states","display_name":"United States","score":0.6690000295639038},{"id":"https://openalex.org/keywords/united-kingdom","display_name":"United Kingdom","score":1.0}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7394604682922363},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.6929918527603149},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6273220181465149},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5810539722442627},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5781190991401672},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5645577907562256},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.46801766753196716},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.4556678831577301},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.42196327447891235},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3843011260032654},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.34208762645721436},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.20723631978034973},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.16894742846488953},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1080/10835547.1999.12089565","doi":"https://doi.org/10.1080/10835547.1999.12089565","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10835547.1999.12089565","pdf_url":null,"source":{"id":"https://openalex.org/S2764953858","display_name":"Journal of Real Estate Portfolio Management","issn_l":"1083-5547","issn":["1083-5547","2691-1205"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Real Estate Portfolio Management","raw_type":"journal-article"},{"id":"pmh:oai:tilburguniversity.edu:openaire_cris_publications/3e8962e0-5545-4503-8c04-53ab007d867d","doi":null,"is_oa":false,"landing_page_url":"https://research.tilburguniversity.edu/en/publications/3e8962e0-5545-4503-8c04-53ab007d867d","pdf_url":null,"source":{"id":"https://openalex.org/S4306401490","display_name":"Research portal (Tilburg University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I193700539","host_organization_name":"Tilburg University","host_organization_lineage":["https://openalex.org/I193700539"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Hamelink, F, Giliberto, M, Hoesli, M & MacGregor, B 1999, 'Optimal diversification within multi-asset portfolios using a conditional heteroscedasticity approach : Evidence from the US and the UK', Journal of Real Estate Portfolio Management, vol. 5, no. 1, pp. 31-46.","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:uvt:oai:tilburguniversity.edu:publications/3e8962e0-5545-4503-8c04-53ab007d867d","doi":null,"is_oa":false,"landing_page_url":"https://research.tilburguniversity.edu/en/publications/3e8962e0-5545-4503-8c04-53ab007d867d","pdf_url":null,"source":{"id":"https://openalex.org/S4306401843","display_name":"Data Archiving and Networked Services (DANS)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1322597698","host_organization_name":"Royal Netherlands Academy of Arts and Sciences","host_organization_lineage":["https://openalex.org/I1322597698"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Real Estate Portfolio Management, 5(1), 31 - 46. American Real Estate Society","raw_type":"info:eu-repo/semantics/article"},{"id":"mag:3125699735","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=152970","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:taf:repmxx:v:5:y:1999:i:1:p:31-45","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/10835547.1999.12089565","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"mag:3125699735","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=152970","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W1535914606","https://openalex.org/W1934845663","https://openalex.org/W1970163737","https://openalex.org/W1971897627","https://openalex.org/W1975161917","https://openalex.org/W1979575715","https://openalex.org/W1984028796","https://openalex.org/W1985882823","https://openalex.org/W1993912169","https://openalex.org/W2007265508","https://openalex.org/W2025728097","https://openalex.org/W2045814035","https://openalex.org/W2046232607","https://openalex.org/W2048284609","https://openalex.org/W2056789004","https://openalex.org/W2065361025","https://openalex.org/W2074469105","https://openalex.org/W2076280637","https://openalex.org/W2085201915","https://openalex.org/W2088729797","https://openalex.org/W2089556049","https://openalex.org/W2091074139","https://openalex.org/W2092013333","https://openalex.org/W2092934571","https://openalex.org/W2095438892","https://openalex.org/W2097136605","https://openalex.org/W2118775685","https://openalex.org/W2122948126","https://openalex.org/W2128475248","https://openalex.org/W2131709855","https://openalex.org/W2133641513","https://openalex.org/W2176460939","https://openalex.org/W2177685256","https://openalex.org/W3133146078"],"related_works":["https://openalex.org/W7051508799","https://openalex.org/W3121985058","https://openalex.org/W7070574811","https://openalex.org/W2007265508","https://openalex.org/W3124152634","https://openalex.org/W2094599909","https://openalex.org/W1512358961","https://openalex.org/W2089000133","https://openalex.org/W1507808662","https://openalex.org/W2119343269"],"abstract_inverted_index":{"Executive":[0],"Summary.":[1],"In":[2],"this":[3],"article,":[4],"portfolio":[5,107],"allocation":[6],"strategies":[7,84],"based":[8,37],"on":[9,38],"a":[10,30],"threshold":[11],"autoregressive":[12],"conditional":[13,91,122],"heteroskedasticity":[14],"model":[15],"(QTARCH)":[16],"are":[17,49,60,78,93],"constructed":[18],"for":[19,85],"the":[20,24,40,46,86,90,96,103,116],"United":[21,25],"States":[22],"and":[23,27,56,73,112],"Kingdom":[26],"compared":[28],"to":[29,51,62,81,95],"conventional":[31],"asset":[32,71],"allocation.":[33],"Our":[34],"procedure":[35],"is":[36],"partitioning":[39],"historical":[41],"data":[42],"into":[43],"\u2018states":[44],"of":[45,54,98,115],"world,\u2019":[47],"which":[48],"used":[50,80],"produce":[52],"expectations":[53],"return":[55],"risk.":[57],"Several":[58],"approaches":[59],"developed":[61],"partition":[63],"an":[64],"initial":[65],"in-sample":[66],"period":[67],"(1978-1983),":[68],"using":[69,121],"quarterly":[70],"returns":[72],"economic":[74],"data.":[75],"These":[76],"partitions":[77],"then":[79],"test":[82],"out-of-sample":[83],"next":[87],"quarter.":[88],"Although":[89],"results":[92],"sensitive":[94],"method":[97],"partitioning,":[99],"we":[100],"show":[101],"that":[102,113],"approach":[104],"can":[105],"improve":[106],"performance":[108,117],"in":[109],"both":[110],"countries":[111],"most":[114],"improvement":[118],"stems":[119],"from":[120],"variances-covariances.":[123]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-08T12:12:28.789561","created_date":"2016-06-24T00:00:00"}
