Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods

Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods

This study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) to determine the best method in fo...

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Bibliographic Details
Main Authors: Dismas Oktavianto, Robiyanto Robiyanto, Andrian Dolfriandra Huruta
Format: Article
Language:Indonesian
Published: Universitas 17 Agustus 1945 (UNTAG) Semarang 2025-01-01
Series:Media Ekonomi dan Manajemen
Subjects:
portfolio
precious metals
dollar index
world oil
asset class
Online Access:https://jurnal.untagsmg.ac.id/index.php/fe/article/view/5302
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