The Downside Risk of Heavy Tails induces Low Diversification
Year of publication: |
2010-08-26
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Authors: | Hyung, Namwon ; Vries, Casper G. de |
Institutions: | Tinbergen Instituut |
Subject: | Portfolio diversification | downside risk | heavy tails |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 10-082/2 |
Classification: | G0 - Financial Economics. General ; G1 - General Financial Markets ; C2 - Econometric Methods: Single Equation Models |
Source: |
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The Downside Risk of Heavy Tails induces Low Diversification
Hyung, Namwon, (2010)
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The downside risk of heavy tails induces low diversification
Hyung, Namwon, (2010)
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Simulating and calibrating diversification against black swans
Hyung, Namwon, (2012)
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Portfolio Diversification Effects and Regular Variation in Financial Data
Hyung, Namwon, (2001)
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Portfolio Selection with Heavy Tails
Hyung, Namwon, (2005)
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Portfolio Diversification Effects of Downside Risk
Hyung, Namwon, (2005)
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