Term Structure of Asset Risk Premia Correlations

Abstract

The speaker explores the measurement of ex-ante asset return correlations using a random field factor to smooth the term structure of the correlations. He studies the issue of how ex-post excess return correlations are related to ex-ante correlations of equity and bond risk premiums. The dynamics of the term structure of equity-bond correlations and the correlation behavior during economic business cycles is characterized. He also considers the spanning issue and the implications on asset management by balanced funds.

About the speaker

Prof. Lim Kian-Guan received his PhD in Finance from Stanford University in 1986. He then joined the National University of Singapore and was a Professor in Finance and Accounting. In 2001, Prof Lim moved to Singapore Management University and is currently the OUB Professorial Chair and Professor of Finance.

Prof. Lim's research focuses on financial engineering; asset pricing and; estimation and control. He received numerous award including the National University of Singapore Outstanding Research Award in 1998; the Best Paper Award and conferred Fellow of World Business Institute Conference in 2011 and; the Pingat Pentadbiran Awam (Public Administration Medal) Persak (Silver) awarded by the President of Singapore in 2012.