There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and correlations and that estimation of spillovers is not necessary for asset allocation. Simulations of typical empirical spillover settings further show that same-frequency spillovers are often negligible and spurious.

中文翻译：

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溢出效应和资产配置

有大量且不断增长的关于溢出的文献，但没有研究系统地评估溢出对投资组合管理的重要性。本文提供了这样的分析，并证明溢出完全嵌入在预期收益、方差和相关性的估计中，并且溢出的估计对于资产配置来说不是必需的。典型经验溢出设置的模拟进一步表明，同频溢出通常可以忽略不计和虚假。