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Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - Tinbergen Instituut - 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/10011255464

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

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/10011255734

Aggregating Credit and Market Risk: The Impact of Model Specification

Lucas, Andre; Verhoef, Bastiaan - Tinbergen Instituut - 2012

models. We first show analytically how model specification impacts 'diversification benefits' for aggregated market and …

Persistent link: https://www.econbiz.de/10011256003

Global Loss Diversification in the Insurance Sector

Sheremet, Oleg; Lucas, André - Tinbergen Instituut - 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/10011256770

Portfolio Diversification Effects of Downside Risk

Hyung, Namwon; Vries, Casper G. de - Tinbergen Instituut - 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/10011256893