Portfolio diversification effects of downside risk

Journal of Financial Econometrics

Volumn 3, Issue 1, 2005, Pages 107-125

  Hyung, Namwon ^a   De Vries, Casper G ^b  

^a University of Seoul   (South Korea)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Diversification; Portfolio decomposition; Value at risk

Indexed keywords

EID: 27144458248     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi004     Document Type: Article

References (12)

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