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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-9883
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dc.contributor.authorPapenbrock, Jochen-
dc.contributor.authorSchwendner, Peter-
dc.date.accessioned2018-08-29T09:52:36Z-
dc.date.available2018-08-29T09:52:36Z-
dc.date.issued2015-
dc.identifier.issn1934-4554de_CH
dc.identifier.issn2373-8529de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/9883-
dc.descriptionErworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch)de_CH
dc.description.abstractIn this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were previously; cluster tracking shows that asset classes are now less separated. We identify distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing, we quantify these observations using suitable metrics for the clusters and correlation networks. The framework will be useful for financial risk management, portfolio construction, and asset allocation.de_CH
dc.language.isoende_CH
dc.publisherSpringerde_CH
dc.relation.ispartofFinancial Markets and Portfolio Managementde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectAsset managementde_CH
dc.subjectCorrelationde_CH
dc.subjectFinTechde_CH
dc.subjectManaged futurede_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleHandling risk-on/risk-off dynamics with correlation regimes and correlation networksde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.1007/s11408-015-0248-2de_CH
dc.identifier.doi10.21256/zhaw-9883-
zhaw.funding.euNode_CH
zhaw.issue2de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end147de_CH
zhaw.pages.start125de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume29de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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Papenbrock, J., & Schwendner, P. (2015). Handling risk-on/risk-off dynamics with correlation regimes and correlation networks. Financial Markets and Portfolio Management, 29(2), 125–147. https://doi.org/10.1007/s11408-015-0248-2
Papenbrock, J. and Schwendner, P. (2015) ‘Handling risk-on/risk-off dynamics with correlation regimes and correlation networks’, Financial Markets and Portfolio Management, 29(2), pp. 125–147. Available at: https://doi.org/10.1007/s11408-015-0248-2.
J. Papenbrock and P. Schwendner, “Handling risk-on/risk-off dynamics with correlation regimes and correlation networks,” Financial Markets and Portfolio Management, vol. 29, no. 2, pp. 125–147, 2015, doi: 10.1007/s11408-015-0248-2.
PAPENBROCK, Jochen und Peter SCHWENDNER, 2015. Handling risk-on/risk-off dynamics with correlation regimes and correlation networks. Financial Markets and Portfolio Management. 2015. Bd. 29, Nr. 2, S. 125–147. DOI 10.1007/s11408-015-0248-2
Papenbrock, Jochen, and Peter Schwendner. 2015. “Handling Risk-on/Risk-off Dynamics with Correlation Regimes and Correlation Networks.” Financial Markets and Portfolio Management 29 (2): 125–47. https://doi.org/10.1007/s11408-015-0248-2.
Papenbrock, Jochen, and Peter Schwendner. “Handling Risk-on/Risk-off Dynamics with Correlation Regimes and Correlation Networks.” Financial Markets and Portfolio Management, vol. 29, no. 2, 2015, pp. 125–47, https://doi.org/10.1007/s11408-015-0248-2.


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