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

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dc.contributor.author Wilson, Patrick en_US
dc.contributor.author Gerlach, Richard en_US
dc.contributor.author Zurbruegg, Ralf en_US
dc.date.accessioned 2009-12-21T02:36:50Z
dc.date.available 2009-12-21T02:36:50Z
dc.date.issued 2003 en_US
dc.identifier 2003000840 en_US
dc.identifier.citation Wilson Patrick, Gerlach Richard, and Zurbruegg Ralf 2003, 'Potential diversification benefits in the presence of unknown structural breaks: an Australian case study', Blackwell Publishing Ltd, vol. 42, no. 4, pp. 442-453. en_US
dc.identifier.issn 0004-900X en_US
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. en_US
dc.publisher Blackwell Publishing Ltd en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/1467-8454.00209 en_US
dc.title Potential diversification benefits in the presence of unknown structural breaks: an Australian case study en_US
dc.parent Australian Economic Papers en_US
dc.journal.volume 42 en_US
dc.journal.number 4 en_US
dc.publocation Adelaide, Australia en_US
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.for 140200 en_US
dc.personcode 760135 en_US
dc.personcode 0000017323 en_US
dc.personcode 0000017322 en_US
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords NA en_US


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