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