Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*

DOI10.1080/13504860600858279zbMath1186.91200OpenAlexW1988076590MaRDI QIDQ5310696

Alessio Sancetta, Steve Satchell

Publication date: 11 October 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600858279

zbMATH Keywords

asymptotic expansionfactor modelportfolio diversificationtruncated variance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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