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05-008/2 - Portfolio Diversification Effects of Downside Risk

  • Authors
    Namwon Hyung, Seoul City University; Casper G. de Vries, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    January 17, 2005
  • Keywords
    Diversification; Value-at-Risk; Decomposition
  • JEL
    G0; G1; C2
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