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10-082/2 - The Downside Risk of Heavy Tails induces Low Diversification


  • Authors
    Namwon Hyung, University of Seoul; Casper G. de Vries, Erasmus University Rotterdam
  • Publication date
    August 26, 2010
  • Keywords
    Portfolio diversification, downside risk, heavy tails
  • JEL
    G0, G1, C2