Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines
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References listed on IDEAS
- J. V. Andersen & D. Sornette, 1999. "Have your cake and eat it too: increasing returns while lowering large risks!," Papers cond-mat/9907217, arXiv.org.
- A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge.
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- repec:eee:phsmap:v:486:y:2017:i:c:p:618-627 is not listed on IDEAS
- Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(05), pages 1371-1404, October.
- Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.
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KeywordsAsymptotic Expansion; Factor Model; Portfolio Diversification; Truncated Variance;
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