When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 107-122, June.
- Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
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- Cornelis A Los, 2005.
"Why VaR FailsLong Memory and Extreme Events in Financial Markets,"
The IUP Journal of Financial Economics,
IUP Publications, vol. 0(3), pages 19-36, September.
- Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, EconWPA.
- Camilleri, Silvio John & Galea, Gabriella, 2009. "The Diversification Potential Offered by Emerging Markets in Recent Years," MPRA Paper 62491, University Library of Munich, Germany.
- Sascha Marcel Donner, 2010. "Risk management in the aftermath of Lehmann Brothers -- Results from a survey among German and international real estate investors," Journal of Property Research, Taylor & Francis Journals, vol. 27(1), pages 19-38, May.
More about this item
Keywordsportfolio management; distibutional stability; long memory; financial risk;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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