Down-side risk metrics as portfolio diversification strategies across the GFC
Year of publication: |
2015
|
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abbay K. |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | portfolio diversification | Markowitz analysis | downside risk | CVaR | draw-down | Portfoliodiversifikation | Portfolio diversification | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätzung | Estimation | Europa | Europe |
Extent: | Online-Ressource (21 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-122 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | hdl:10419/125122 [Handle] |
Classification: | G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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