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
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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