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The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …

Persistent link: https://www.econbiz.de/10011381335

Corporate international diversification and risk

Krapl, Alain A. - In: International review of financial analysis 37 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011316624

Open-ended property funds : risk and return profile : diversification benefits and liquidity risks

Haß, Lars Helge; Johanning, Lutz; Rudolph, Bernd; … - In: International review of financial analysis 21 (2012), pp. 90-107

Persistent link: https://www.econbiz.de/10009633329

Managing the risks of energy efficiency insurances in a portfolio context: an actuarial diversification approach

Baltuttis, Dennik; Töppel, Jannick; Tränkler, Timm; … - In: International review of financial analysis 68 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012301096

Aggregating credit and market risk : the impact of model specification

Lucas, André; Verhoef, Bastiaan - 2012

Persistent link: https://www.econbiz.de/10010191011

Risk diversification by European financial conglomerates

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

Persistent link: https://www.econbiz.de/10003233496

The risk spiral : the effects of bank capital and diversification on risk taking

Peleg Lazar, Sharon; Raviv, Alon - In: International review of financial analysis 65 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012208875

The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

Persistent link: https://www.econbiz.de/10008655194

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

Auctions under payoff uncertainty : the case with heterogeneous bidder-aversion to downside risk

Hu, Audrey Xianhua; Zou, Liang - 2008

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is common knowledge, except that bidders have private...

Persistent link: https://www.econbiz.de/10011374400