A Portfolio Approach to Estimating the Average Correlation Coefficient for the Constant Correlation Model
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- Riza Demirer & Donald Lien, 2004. "Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 447-456.
- repec:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9589-9 is not listed on IDEAS
- Demirer, RIza & Lien, Donald, 2005. "Correlation and return dispersion dynamics in Chinese markets," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 477-491.
- repec:spr:jglopt:v:68:y:2017:i:2:d:10.1007_s10898-016-0477-6 is not listed on IDEAS
- Sankaran, Jayaram K. & Patil, Ajay A., 1999. "On the optimal selection of portfolios under limited diversification," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1655-1666, November.
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