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  • Search: subject:"decoupling hypothesis"
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Year of publication
Subject
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DC model 1 Portfolio selection 1 decoupling hypothesis 1 estimation risk short-sale constraints 1 international diversification 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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García-Álvarez, Luis 1 Luger, Richard 1
Institution
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Centro de Estudios Monetarios y Financieros (CEMFI) 1
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Working Papers / Centro de Estudios Monetarios y Financieros (CEMFI) 1
Source
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RePEc 1
Showing 1 - 1 of 1
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DYNAMIC CORRELATIONS, ESTIMATION RISK, AND PORFOLIO MANAGEMENT DURING THE FINANCIAL CRISIS
García-Álvarez, Luis; Luger, Richard - Centro de Estudios Monetarios y Financieros (CEMFI) - 2011
We evaluate alternative multivariate models of dynamic correlations in terms of realized out-of-sample Sharpe ratios for an active portfolio manager who rebalances a portfolio of international equities on a daily basis. The evaluation period covers the recent financial crisis which was marked by...
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