| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089106 | Journal of Banking & Finance | 2013 | 19 Pages |
Abstract
⺠We show lower tail dependence, Ï, provides important information for investors. âº Ï differs systematically from other risk measures. ⺠Low-Ï portfolios provide higher returns than high-Ï portfolios and the market index.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Francis J. DiTraglia, Jeffrey R. Gerlach,