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

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	227-242
Number of pages	16
Journal	Applied Mathematical Finance
Volume	14
Issue number	3
DOIs	https://doi.org/10.1080/13504860600858279
Publication status	E-pub ahead of print - 14 Jun 2007

Access to Document

@article{a010b9a53f6d44e3891fe9b7ff99eaec,

title = "Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines",

author = "Alessio Sancetta and Steve Satchell",

year = "2007",

month = jun,

day = "14",

doi = "10.1080/13504860600858279",

language = "English",

volume = "14",

pages = "227--242",

journal = "Applied Mathematical Finance",

number = "3",

}

TY - JOUR

T1 - Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines

AU - Sancetta, Alessio

AU - Satchell, Steve

PY - 2007/6/14

Y1 - 2007/6/14

U2 - 10.1080/13504860600858279

DO - 10.1080/13504860600858279

M3 - Article

VL - 14

SP - 227

EP - 242

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

IS - 3

ER -