Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
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References listed on IDEAS
- Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc.
- repec:dau:papers:123456789/7748 is not listed on IDEAS
- P. Hartmann & S. Straetmans & C. G. de Vries, 2004.
"Asset Market Linkages in Crisis Periods,"
The Review of Economics and Statistics,
MIT Press, vol. 86(1), pages 313-326, February.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 0071, European Central Bank.
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More about this item
Keywordsfixed-income portfolio; financial crisis; flight-to-quality; contagion; expected tail loss;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
- NEP-CFN-2012-07-29 (Corporate Finance)
- NEP-FMK-2012-07-29 (Financial Markets)
- NEP-RMG-2012-07-29 (Risk Management)
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