10-082/2 - The Downside Risk of Heavy Tails induces Low Diversification

• Authors
  Namwon Hyung, University of Seoul; Casper G. de Vries, Erasmus University Rotterdam
• Publication date
  August 26, 2010

• Keywords
  Portfolio diversification, downside risk, heavy tails
• JEL
  G0, G1, C2