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

Alessio Sancetta, Steve Satchell

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)227-242
Number of pages16
JournalApplied Mathematical Finance
Volume14
Issue number3
DOIs
Publication statusE-pub ahead of print - 14 Jun 2007

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