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dc.contributor.authorXu, Simon
dc.contributor.authorHwang, Inchang
dc.contributor.authorIn, Francis H.
dc.date.accessioned2017-12-08T02:00:33Z
dc.date.available2017-12-08T02:00:33Z
dc.date.issued2016
dc.identifier.issn1468-2443
dc.identifier.doi10.1111/irfi.12080
dc.identifier.urihttp://hdl.handle.net/10072/336468
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherWiley-Blackwell Publishing
dc.relation.ispartofpagefrom483
dc.relation.ispartofpageto495
dc.relation.ispartofissue3
dc.relation.ispartofjournalInternational Review of Finance
dc.relation.ispartofvolume16
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchAccounting, Auditing and Accountability
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1501
dc.subject.fieldofresearchcode1502
dc.titleThe effect of diversification on tail risk: evidence from US equity mutual fund portfolios
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorIn, Francis H.


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