Show simple item record

dc.contributor.authorBianchi, Robert J.
dc.contributor.authorDrew, Michael E.
dc.contributor.authorWalk, Adam N.
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T07:41:26Z
dc.date.available2020-01-16T07:41:26Z
dc.date.issued2012
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201208
dc.identifier.urihttp://hdl.handle.net/10072/390440
dc.description.abstractRegimes are of interest to investors as they describe periods of episodic changes in returns and volatility caused by the non-normality and non-linearity characteristics of financial returns. The literature to date has examined regimes in single asset classes with little emphasis on the regime behavior of diversified (i.e. multi-asset investment) portfolios. This study examines whether lowering risk or increasing asset diversification are valid methods for investors to temper the regime behavior of their portfolios. Using a hidden semi-Markov model, we analyse the returns of two pension (i.e. superannuation) fund investment portfolios at opposite ends of the risk spectrum, namely a low risk cash-based portfolio and a moderate-to-high risk, but highly diversified, balanced portfolio. The findings show that asset class diversification does not appear to offer any noticeable benefits in relation to managing the regime behavior of investment portfolios. The findings also reveal that risk-reduction towards a cash based investment does not mitigate regimes in diversified portfolios.
dc.format.extent33 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto33
dc.subject.keywordsG11 - Portfolio Choice; Investment Decisions
dc.subject.keywordsG23 - Pension Funds; Other Private Financial Institutions; Institutional Investors
dc.subject.keywordsregimes
dc.subject.keywordspensions
dc.subject.keywordshidden semi-Markov models
dc.title2012-08: Regimes in Australian Pension Fund Returns: A Hidden Semi-Markov Approach (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2012
gro.hasfulltextFull Text
gro.griffith.authorDrew, Michael E.


Files in this item

This item appears in the following Collection(s)

  • Reports
    Contains reports by Griffith authors published for government agencies, industry and other organisations.

Show simple item record