Article citationsMore>>

S. Page and M. Taborsky, “The Myth of Diversification: Risk Factors versus Asset Classes,” Journal of Portfolio Management, Vol. 37, No. 4, 2011, pp. 1-2. http://dx.doi.org/10.3905/jpm.2011.37.4.001

has been cited by the following article:

• TITLE: The Hidden Risk Factor

  AUTHORS: J. H. Witte, D. Ples, J. Corominas

  KEYWORDS: Currency Risk; Risk Premium; Risk Factor; FX Hedge; Currency Overlay

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3A, October 8, 2013

  ABSTRACT: To achieve maximum returns consistent with an investor’s appetite for risk, the correct identification and estimation of all relevant risk factors in a portfolio are necessary. In this paper, we identify the role of foreign currency as an important risk factor from an international investor’s point of view.