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Down-side risk metrics as portfolio diversification strategies across the GFC

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A capital adequacy buffer model

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Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

Risk measurement and risk modelling using applications of vine copulas

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CAViaR and the Australian stock markets : an appetiser

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European Market portfolio diversifcation strategies across the GFC

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