Primary Article
Extreme Returns, Downside Risk, and Optimal Asset Allocation
André Lucas and Pieter Klaassen
The Journal of Portfolio Management Fall 1998, 25 (1) 71-79; DOI: https://doi.org/10.3905/jpm.1998.409657
André Lucas
A research fellow in financial sector management (BFS) at Vrije University in Amsterdam, the Netherlands.
Pieter Klaassen
Vice president, credit risk modeling, at the ABN AMRO Bank N.V. in Amsterdam.
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In this issue
Extreme Returns, Downside Risk, and Optimal Asset Allocation
André Lucas, Pieter Klaassen
The Journal of Portfolio Management Oct 1998, 25 (1) 71-79; DOI: 10.3905/jpm.1998.409657