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CVaR
6
Downside Risk
5
Draw-down
5
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Powell, Robert J.
McAleer, Michael
12
Allen, David E.
9
Singh, Abhay K.
8
Landriault, David
6
Li, Bin
6
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Maier-Paape, Stanislaus
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Uryasev, Stan
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Baghdadabad, Mohammad Reza Tavakoli
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Ding, Rui
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Li, Lingfei
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Glabadanidis, Paskalis
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Han, Xia
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Liang, Zhibin
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Möller, Philipp M.
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Obłój, Jan
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Petroni, Filippo
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Powell, Robert
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Tavakoli Baghdadabad, Mohammad Reza
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Vardar-Acar, Ceren
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Young, Virginia R.
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Zhou, Xiaowen
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Ahmed, Sheraz
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Allen, David Edmund
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Angoshtari, Bahman
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Balli, Faruk
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Bayraktar, Erhan
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Budhi Arta Surya
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Choi, Jaehyung
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.
;
McAleer, Michael
;
Powell, Robert J.
; …
- In:
Journal of Risk and Financial Management
9
(
2016
)
2
,
pp. 1-18
effectiveness of Markowitz with various
draw-down
strategies, utilising a series of backtests. Our results suggest that none of the …
Persistent link: https://www.econbiz.de/10011843271
Saved in:
2
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert J.
; …
-
2015
effectiveness of Markowitz with various
draw-down
strategies, utilising a series of backtests. Our results suggest that none of the …
Persistent link: https://www.econbiz.de/10011403579
Saved in:
3
European Market Portfolio Diversification Strategies across the GFC
Allen, David Edmund
;
McAleer, Michael
;
Powell, Robert J.
; …
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
Markowitz with various
draw-down
strategies, utilising a series of backtests .Our results suggest that none of the more …
Persistent link: https://www.econbiz.de/10011079165
Saved in:
4
European Market Portfolio Diversification Strategies across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert J.
; …
-
Tinbergen Instituut
-
2014
Markowitz with various
draw-down
strategies, utilising a series of backtests. Our results suggest that none of the more …
Persistent link: https://www.econbiz.de/10011272588
Saved in:
5
European Market Portfolio Diversification Strategies across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert J.
; …
-
2014
Markowitz with various
draw-down
strategies, utilising a series of backtests. Our results suggest that none of the more …
Persistent link: https://www.econbiz.de/10010491366
Saved in:
6
European Market Portfolio Diversifcation Strategies across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert J.
; …
-
Department of Economics and Finance, College of …
-
2014
Markowitz with various
draw-down
strategies, utilising a series of backtests. Our results suggest that none of the more …
Persistent link: https://www.econbiz.de/10010939134
Saved in:
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