The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios
Author:
Affiliation:
1. Department of Banking and Finance; Monash University; Clayton VIC Australia
2. Korea Insurance Research Institute; Seoul South Korea
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Reference20 articles.
1. Security Return Distributions and Market Structure: Evidence from the NYSE/AMEX and the Nasdaq Markets;Aggarwal;Journal of Financial Research,1993
2. The Multivariate Skew-Normal Distribution;Azzalini;Biometrika,1996
3. Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?;Bali;Review of Asset Pricing Studies,2014
4. Tails, Fears, and Risk Premia;Bollerslev;Journal of Finance,2011
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