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Risk Diversification by European Financial Conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Institute
diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …
Persistent link: https://www.econbiz.de/10005137073
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Global Loss Diversification in the Insurance Sector
Sheremet, Oleg; Lucas, André - Tinbergen Institute - 2008
We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the … time, thus reducing the scope for international diversification of large losses in this sector. …
Persistent link: https://www.econbiz.de/10005137123
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Portfolio Diversification Effects of Downside Risk
Hyung, Namwon; Vries, Casper G. de - Tinbergen Institute - 2005
the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …
Persistent link: https://www.econbiz.de/10005137332
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Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements
Lizyayev, Andrey - Tinbergen Institute - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10008611034