Potential diversification benefits in the presence of unknown structural breaks: an Australian case study

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dc.contributor.author Wilson, PJ
dc.contributor.author Gerlach, R
dc.contributor.author Zurbruegg, R
dc.date.accessioned 2009-12-21T02:36:50Z
dc.date.issued 2003-01
dc.identifier.citation Australian Economic Papers, 2003, 42 (4), pp. 442 - 453
dc.identifier.issn 0004-900X
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5145
dc.description.abstract It is reasonable to suggest that a portfolio manager with direct property diversified by sector or region is more interested in strategic than in tactical asset allocation. However, even with strategic allocations of property the portfolio manager needs a regular monitoring of the inter-relationships amongst assets comprising the portfolio to ensure that unexpected events do not `permanently alter such relationships. One procedure for ascertaining whether assets are inter-related over the long run (and therefore offer few diversification benefits) is through cointegration analysis. A difficulty with conventional cointegration analysis, however, is that it is unable to accommodate changes in equilibrium relationships that might occur due to unexpected structural changes. In this paper we apply the Gregory and Hansen cointegration procedure to consider how unexpected structural changes might affect the potential long run diversification benefits of assets held in an Australian property portfolio.
dc.publisher Blackwell Publishing Ltd
dc.relation.isbasedon 10.1111/1467-8454.00209
dc.title Potential diversification benefits in the presence of unknown structural breaks: an Australian case study
dc.type Journal Article
dc.parent Australian Economic Papers
dc.journal.volume 4
dc.journal.volume 42
dc.journal.number 4 en_US
dc.publocation Adelaide, Australia en_US
dc.publocation Sydney, Australia
dc.identifier.startpage 442 en_US
dc.identifier.endpage 453 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference Engineering Mathematics and Applications Conference
dc.for 1402 Applied Economics
dc.personcode 760135
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.date.activity 2003-07-09
dc.location.activity Sydney, Australia
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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