Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
Year of publication: |
2015
|
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abbay K. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Portfolio Diversification | Markowitz Analysis | Downside Risk | CVaR | Draw-down |
Series: | Tinbergen Institute Discussion Paper ; 15-122/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 838253091 [GVK] hdl:10419/125122 [Handle] RePEc:tin:wpaper:20150122 [RePEc] |
Classification: | G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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