PORTFOLIO MANAGEMENT - Asset Allocation Models and Market Volatility - A simple one-factor model can explain a large portion of time variation in correlations.
| Year of publication: |
2001
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|---|---|
| Authors: | Jacquier, Eric ; Marcus, Alan J. |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 57.2001, 2, p. 16-31
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