• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

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