Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Year of publication: |
June 2016
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abhay Kumar |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 9.2016, 2, p. 1-18
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Subject: | portfolio diversification | draw-down portfolio diversification | Markowitz analysis | downside risk | CVaR | draw-down | Portfolio-Management | Portfolio selection | Portfoliodiversifikation | Portfolio diversification | Risikomaß | Risk measure | Schätzung | Estimation | Finanzkrise | Financial crisis | Europa | Europe |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm9020006 [DOI] hdl:10419/178573 [Handle] |
Classification: | G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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