Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines. / Sancetta, Alessio; Satchell, Steve.

In: Applied Mathematical Finance, Vol. 14, No. 3, 14.06.2007, p. 227-242.

Research output: Contribution to journalArticlepeer-review

E-pub ahead of print
Original languageEnglish
Pages (from-to)227-242
Number of pages16
JournalApplied Mathematical Finance
Issue number3
Publication statusE-pub ahead of print - 14 Jun 2007
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

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