Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Year of publication: |
2016
|
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 9.2016, 2, p. 1-18
|
Publisher: |
Basel : MDPI |
Subject: | portfolio diversification | Markowitz analysis | downside risk | CVaR | draw-down portfolio diversification | draw-down |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm9020006 [DOI] 870064614 [GVK] hdl:10419/178573 [Handle] |
Classification: | G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E., (2016)
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E., (2015)
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Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
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