Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets

Journal of International Money and Finance

Volumn 21, Issue 7, 2002, Pages 981-1011

  Butler, K C ^a   Joaquin, D C ^b  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b ILLINOIS STATE UNIVERSITY   (United States)

Author keywords

Bear markets; Correlation; Downside risk; Financial markets; GARCH; Normal RiskMetrics ; Portfolio diversification; Student t

Indexed keywords

EID: 0036889359     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(02)00048-7     Document Type: Article

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