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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