Show simple item record

dc.contributor.authorBianchi, RJ
dc.contributor.authorDrew, ME
dc.contributor.authorWalk, AN
dc.contributor.editorSerhiy Kozmenko
dc.date.accessioned2017-05-03T11:31:17Z
dc.date.available2017-05-03T11:31:17Z
dc.date.issued2012
dc.date.modified2012-09-20T22:15:08Z
dc.identifier.issn1810-4967
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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.publisherDilovi Perspektyvy
dc.publisher.placeUkraine
dc.publisher.urihttp://businessperspectives.org/component/option,com_journals/task,issue/id,202/jid,4/Itemid,74/
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom55
dc.relation.ispartofpageto69
dc.relation.ispartofissue1
dc.relation.ispartofjournalInvestment Management and Financial Innovations
dc.relation.ispartofvolume9
dc.rights.retentionY
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150201
dc.subject.fieldofresearchcode150205
dc.subject.fieldofresearchcode1502
dc.titleRegimes in Australian pension fund returns: a hidden semi-Markov approach
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
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.
gro.date.issued2012
gro.hasfulltextNo Full Text
gro.griffith.authorBianchi, Robert
gro.griffith.authorDrew, Michael E.
gro.griffith.authorWalk, Adam


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record