Principal components as a measure of systemic risk
The US government's failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …
markets, together with excessive risk taking by some financial institutions, pushed the world …
Regime shifts: Implications for dynamic strategies (corrected)
M Kritzman, S Page, D Turkington - Financial Analysts Journal, 2012 - Taylor & Francis
Regime shifts present significant challenges for investors because they cause performance
to depart significantly from the ranges implied by long-term averages of means and …
to depart significantly from the ranges implied by long-term averages of means and …
When diversification fails
S Page, RA Panariello - Financial Analysts Journal, 2018 - Taylor & Francis
One of the most vexing problems in investment management is that diversification seems to
disappear when investors need it the most. We surmise that many investors still do not fully …
disappear when investors need it the most. We surmise that many investors still do not fully …
[PDF][PDF] The myth of diversification
DB Chua, M Kritzman, S Page - The Journal of …, 2009 - uat-globalmarkets.statestreet.com
Perhaps the most universally accepted precept of prudent investing is to diver-sify, yet this
precept grossly oversimplifies the challenge of portfolio construction. Consider a typical …
precept grossly oversimplifies the challenge of portfolio construction. Consider a typical …
Measuring the Diversification and Hedging Properties of Correlations
CFA O'Toole - Available at SSRN 2238578, 2012 - papers.ssrn.com
Portfolio diversification and hedging have become more complicated in large part due to
adverse developments in the time-varying behavior of correlations, and consequently there …
adverse developments in the time-varying behavior of correlations, and consequently there …