Bissantz, Nicolai; Ziggel, Daniel; Bissantz, Kathrin - In: Acta Universitatis Danubius. OEconomica (2011) 4(4), pp. 127-141
During world financial crisis it became obvious that classical models of portfolio theory significantly under-estimated risks, especially with regard to stocks. Instabilities of correlations and volatilities, the relevant parameters characterizing risk, led to over-estimation of diversification...