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Idiosyncratic risk and downside risk: Portfolio choice in globalized markets

被引：0
|
作者：
McNelis, P [1 ]
Koo, S [1 ]
机构：
[1] Georgetown Univ, Dept Econ, Washington, DC USA
来源：
PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES | 2003年
关键词：
systemic risk; autoassociative map; downside risk;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
We compare the CAPM, APT, and ICAPM models of asset pricing with nonlinear principle components based on the autoassociative map for assessing systemic risk in international asset returns. We make use of "downside risk" based on extreme value theory for examining portfolio allocation across countries.
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页码：1175 / 1178
页数：4
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