Two Asset Portfolio Optimizations With GARCH Models

Abstract

The asymmetric information to investors creates, unlike responses to the news. The study is based on GARCH models, which are usually used to analyse the volatilities

and covolatilities in different markets.  This paper will apply the concept of an asymmetric dynamic conditional correlation model to calculate conditional fluctuations using the ADCC model, correlations, optimal weights, and hedge ratios, as proposed by Kroner and Neg model, for real estate, crude oil, gold, and the Indian equity index. The study will also help us to optimise the portfolio without compromising the return, which is limited to two asset portfolios.