15-122/III - Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

• Authors
  David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Robert J. Powell, Edith Cowan University, Australia; Abbay K. Singh, Edith Cowan University, Australia
• Publication date
  November 2, 2015

• Keywords
  Portfolio Diversification, Markowitz Analysis, Downside Risk, CVaR, Draw-down
• JEL
  G11, C61