Naive versus optimal diversification : tail risk and performance
Inchang Hwanga, Simon Xu, Francis In
| Year of publication: |
16 February 2018
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| Authors: | Hwanga, Inchang ; Xu, Simon ; In, Francis |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 265.2018, 1 (16.2.), p. 372-388
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| Subject: | Investment analysis | Mean–variance analysis | Portfolio optimization | Tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Diversifikation | Diversification | Schätzung | Estimation | Finanzanalyse | Financial analysis | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.07.066 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011805506