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

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

Persistent link: https://www.econbiz.de/10011432732

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

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation 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 on a...

Persistent link: https://www.econbiz.de/10011376286

Optimising a mining portfolio using CVaR

Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011

Persistent link: https://www.econbiz.de/10009410472

Anybody can do value at risk : a nonparametric teaching study

Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 111-123

Persistent link: https://www.econbiz.de/10010244287

Anybody can do value at risk : a teaching study using parametric computation and Monte Carlo simulation

Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 101-118

Persistent link: https://www.econbiz.de/10010244995

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

Aspects of volatility and correlations in European emerging economies

Golab, Anna; Allen, David E.; Powell, Robert - In: Emerging markets and sovereign risk, (pp. 59-80). 2015

Persistent link: https://www.econbiz.de/10010458449

Cattle as a consistently resilient agricultural commodity

Powell, Robert; Duc Hong Vo; Thach Ngoc Pham - In: Applied economics 51 (2019) 55, pp. 5911-5922

Persistent link: https://www.econbiz.de/10012197305