Series: IMF Working Papers
Author(s): Piti Disyatat , and R. Gelos
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2001
Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,
Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...