Matches in SemOpenAlex for { <https://semopenalex.org/work/W2148797805> ?p ?o ?g. }
- W2148797805 abstract "This paper uncovers the factors in∞uencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio. We measure these factors by using the Clayton copula to model comovements and extreme value theory to estimate shortfall probabilities. These techniques allow us to identify useless diversiflcation strategies based on assets with difierent tail behaviour, and show that in case of flnancial distress the asset with heavier tail drives the return on the overall portfolio down. An application to flnancial indexes of UK and US shows that mean-variance and downside-risk averse investors construct difierent e‐cient portfolios. JEL classiflcation: C1, C2, G1." @default.
- W2148797805 created "2016-06-24" @default.
- W2148797805 creator A5073501494 @default.
- W2148797805 date "2007-02-08" @default.
- W2148797805 modified "2023-10-16" @default.
- W2148797805 title "The Impact of Heavy Tails and Comovements in Downside-Risk Diversiflcation" @default.
- W2148797805 cites W1498464051 @default.
- W2148797805 cites W1500657154 @default.
- W2148797805 cites W1563654097 @default.
- W2148797805 cites W1590120741 @default.
- W2148797805 cites W1767956281 @default.
- W2148797805 cites W1801733850 @default.
- W2148797805 cites W1895366050 @default.
- W2148797805 cites W1980314087 @default.
- W2148797805 cites W1987037458 @default.
- W2148797805 cites W1991614114 @default.
- W2148797805 cites W2003599500 @default.
- W2148797805 cites W2015856032 @default.
- W2148797805 cites W2017035776 @default.
- W2148797805 cites W2019199024 @default.
- W2148797805 cites W2036983007 @default.
- W2148797805 cites W2038311473 @default.
- W2148797805 cites W2047144206 @default.
- W2148797805 cites W2048649579 @default.
- W2148797805 cites W2082568669 @default.
- W2148797805 cites W2096992152 @default.
- W2148797805 cites W2117278512 @default.
- W2148797805 cites W2119436275 @default.
- W2148797805 cites W2120132808 @default.
- W2148797805 cites W2122549219 @default.
- W2148797805 cites W2148451394 @default.
- W2148797805 cites W2154115836 @default.
- W2148797805 cites W2169869866 @default.
- W2148797805 cites W2322480514 @default.
- W2148797805 cites W2751862591 @default.
- W2148797805 cites W2907233437 @default.
- W2148797805 cites W3123637160 @default.
- W2148797805 cites W3124988294 @default.
- W2148797805 cites W91069159 @default.
- W2148797805 cites W2005752521 @default.
- W2148797805 cites W2275214226 @default.
- W2148797805 hasPublicationYear "2007" @default.
- W2148797805 type Work @default.
- W2148797805 sameAs 2148797805 @default.
- W2148797805 citedByCount "0" @default.
- W2148797805 crossrefType "posted-content" @default.
- W2148797805 hasAuthorship W2148797805A5073501494 @default.
- W2148797805 hasConcept C10138342 @default.
- W2148797805 hasConcept C106159729 @default.
- W2148797805 hasConcept C136764020 @default.
- W2148797805 hasConcept C139819358 @default.
- W2148797805 hasConcept C149782125 @default.
- W2148797805 hasConcept C162118730 @default.
- W2148797805 hasConcept C162324750 @default.
- W2148797805 hasConcept C17618745 @default.
- W2148797805 hasConcept C2776719154 @default.
- W2148797805 hasConcept C2776734221 @default.
- W2148797805 hasConcept C2777382242 @default.
- W2148797805 hasConcept C2780821815 @default.
- W2148797805 hasConcept C32896092 @default.
- W2148797805 hasConcept C38652104 @default.
- W2148797805 hasConcept C41008148 @default.
- W2148797805 hasConcept C5496284 @default.
- W2148797805 hasConcept C76178495 @default.
- W2148797805 hasConcept C94128290 @default.
- W2148797805 hasConceptScore W2148797805C10138342 @default.
- W2148797805 hasConceptScore W2148797805C106159729 @default.
- W2148797805 hasConceptScore W2148797805C136764020 @default.
- W2148797805 hasConceptScore W2148797805C139819358 @default.
- W2148797805 hasConceptScore W2148797805C149782125 @default.
- W2148797805 hasConceptScore W2148797805C162118730 @default.
- W2148797805 hasConceptScore W2148797805C162324750 @default.
- W2148797805 hasConceptScore W2148797805C17618745 @default.
- W2148797805 hasConceptScore W2148797805C2776719154 @default.
- W2148797805 hasConceptScore W2148797805C2776734221 @default.
- W2148797805 hasConceptScore W2148797805C2777382242 @default.
- W2148797805 hasConceptScore W2148797805C2780821815 @default.
- W2148797805 hasConceptScore W2148797805C32896092 @default.
- W2148797805 hasConceptScore W2148797805C38652104 @default.
- W2148797805 hasConceptScore W2148797805C41008148 @default.
- W2148797805 hasConceptScore W2148797805C5496284 @default.
- W2148797805 hasConceptScore W2148797805C76178495 @default.
- W2148797805 hasConceptScore W2148797805C94128290 @default.
- W2148797805 hasLocation W21487978051 @default.
- W2148797805 hasOpenAccess W2148797805 @default.
- W2148797805 hasPrimaryLocation W21487978051 @default.
- W2148797805 hasRelatedWork W1510564770 @default.
- W2148797805 hasRelatedWork W1567087595 @default.
- W2148797805 hasRelatedWork W1983669369 @default.
- W2148797805 hasRelatedWork W1998968611 @default.
- W2148797805 hasRelatedWork W2116895053 @default.
- W2148797805 hasRelatedWork W2176612923 @default.
- W2148797805 hasRelatedWork W2240754829 @default.
- W2148797805 hasRelatedWork W2274812152 @default.
- W2148797805 hasRelatedWork W2301175675 @default.
- W2148797805 hasRelatedWork W2344146575 @default.
- W2148797805 hasRelatedWork W2348796658 @default.
- W2148797805 hasRelatedWork W2563552084 @default.
- W2148797805 hasRelatedWork W2803799654 @default.
- W2148797805 hasRelatedWork W2807933648 @default.