Work

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

Year: 2007

Type: article

Source: Applied Mathematical Finance

DOI: 10.1080/13504860600858279

Authors: Alessio Sancetta, Steve E. Satchell

Institution: University of Cambridge

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Economic and Social Research Council

OpenAlex ID: W1988076590

FWCI: 1.181

Cites: 30

Cited by: 16

Related to: 10