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...

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of...