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dc.contributor.authorBianchi, Roberten_US
dc.contributor.authorDrew, Michaelen_US
dc.contributor.authorWalk, Adamen_US
dc.contributor.editorSerhiy Kozmenkoen_US
dc.date.accessioned2017-05-03T11:31:17Z
dc.date.available2017-05-03T11:31:17Z
dc.date.issued2012en_US
dc.date.modified2012-09-20T22:15:08Z
dc.identifier.issn1810-4967en_US
dc.identifier.urihttp://hdl.handle.net/10072/46909
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, the authors analyze 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.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.languageEnglishen_US
dc.publisherDilovi Perspektyvyen_US
dc.publisher.placeUkraineen_US
dc.publisher.urihttp://businessperspectives.org/component/option,com_journals/task,issue/id,202/jid,4/Itemid,74/en_US
dc.relation.ispartofstudentpublicationNen_US
dc.relation.ispartofpagefrom55en_US
dc.relation.ispartofpageto69en_US
dc.relation.ispartofissue1en_US
dc.relation.ispartofjournalInvestment Management and Financial Innovationsen_US
dc.relation.ispartofvolume9en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchFinanceen_US
dc.subject.fieldofresearchInvestment and Risk Managementen_US
dc.subject.fieldofresearchcode150201en_US
dc.subject.fieldofresearchcode150205en_US
dc.titleRegimes in Australian pension fund returns: a hidden semi-Markov approachen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.rights.copyrightSelf-archiving of the author-manuscript version is not yet supported by this journal. Please refer to the journal link for access to the definitive, published version or contact the author[s] for more information.en_US
gro.date.issued2012
gro.hasfulltextNo Full Text


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