New model outperforms traditional methods in optimizing investment portfolios.
The article evaluates different models to see which one is best for predicting how different assets move together. They use data from 65 assets in seven classes from 2003-2018 to build portfolios. The Scalar BEKK model is found to be the most accurate, giving lower required returns compared to other models. Traditional models tend to overestimate returns compared to the Scalar BEKK model.