Large returns, conditional correlation and portfolio diversification: a value-at-risk approach (Q4646507)
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scientific article; zbMATH DE number 7001060
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| English | Large returns, conditional correlation and portfolio diversification: a value-at-risk approach |
scientific article; zbMATH DE number 7001060 |
Statements
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach (English)
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14 January 2019
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portfolio diversification
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value-at-risk
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conditional CAPM
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0.7439230680465698
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0.7297507524490356
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0.727333664894104
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0.7215824127197266
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0.7196000218391418
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