Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence
Cheoljun Eom, Taisei Kaizoji, Giacomo Livan, Enrico Scalas
| Year of publication: |
2021
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| Authors: | Eom, Cheoljun ; Kaizoji, Taisei ; Livan, Giacomo ; Scalas, Enrico |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-17
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| Subject: | Common factors | Fat tails | Portfolio diversification | Principal components analysis | Random matrix theory | Singular value decomposition | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101358 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821302