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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

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

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EVT and tail-risk modelling : evidence from market indices and volatility series

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: The North American journal of economics and finance : a … 26 (2013), pp. 355-369

Persistent link: https://www.econbiz.de/10010367580

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475

Persistent link: https://www.econbiz.de/10011436713

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