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Risk measures : rationality and diversification

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The downside risk of heavy tails induces low diversification

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

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

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

More on minimal entropy-Hellinger martingale measure

Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 1-19

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Constrained optimization with respect to stochastic dominance : application to portfolio insurance

El Karoui, Nicole; Meziou, Asma - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 103-117

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Risk-reward optimization with discrete-time coherent risk

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Tractable robust expected utility and risk models for portfolio optimization

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Local risk minimization for defaultable markets

Biagini, Francesca; Cretarola, Alessandra - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 669-689

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Optimal portfolios with lower partial moment constraints and LPM-risk-optimal martingale measures

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Modeling liquidity effects in discrete time

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The downside risk of heavy tails induces low diversification

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

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