The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios. (25th February 2016)
- Record Type:
- Journal Article
- Title:
- The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios. (25th February 2016)
- Main Title:
- The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios
- Authors:
- Xu, Simon
Hwang, Inchang
In, Francis - Abstract:
- Abstract: This paper examines the effect of diversification on the tail risk of US equity mutual fund portfolios by utilizing classical higher‐moment measures and robust tail weight measures. Empirical results show that market standard portfolios based on the mean‐variance framework are exposed to greater tail risk than benchmark portfolios are and diversification further intensifies this exposure.
- Is Part Of:
- International review of finance. Volume 16:Number 3(2016:Sep.)
- Journal:
- International review of finance
- Issue:
- Volume 16:Number 3(2016:Sep.)
- Issue Display:
- Volume 16, Issue 3 (2016)
- Year:
- 2016
- Volume:
- 16
- Issue:
- 3
- Issue Sort Value:
- 2016-0016-0003-0000
- Page Start:
- 483
- Page End:
- 495
- Publication Date:
- 2016-02-25
- Subjects:
- Finance -- Periodicals
Financial institutions -- Periodicals
332.673 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-2443 ↗
http://onlinelibrary.wiley.com/ ↗
http://www.blackwell-synergy.com/servlet/useragent?func=showIssues&code=irfi ↗ - DOI:
- 10.1111/irfi.12080 ↗
- Languages:
- English
- ISSNs:
- 1369-412X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4547.155000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 2718.xml