Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* (Q5310696)
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scientific article; zbMATH DE number 5200225
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| English | Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* |
scientific article; zbMATH DE number 5200225 |
Statements
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* (English)
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11 October 2007
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asymptotic expansion
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factor model
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portfolio diversification
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truncated variance
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0.7297507524490356
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0.6899431943893433
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0.6853690147399902
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0.6753241419792175
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0.6736863851547241
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