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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
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Aggregating credit and market risk : the impact of model specification
Lucas, André; Verhoef, Bastiaan - 2012
Persistent link: https://www.econbiz.de/10010191011
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
Persistent link: https://www.econbiz.de/10003233496
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Return forecasts and optimal portfolio construction : a quantile regression approach
Ma, Lingjie; Pohlman, Larry - In: The European journal of finance 14 (2008) 5/6, pp. 409-425
Persistent link: https://www.econbiz.de/10003771722
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Prediciting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2005
Persistent link: https://www.econbiz.de/10003155816
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Forecast accuracy and economic gains from Bayesian model averaging using time varying weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - 2009
Persistent link: https://www.econbiz.de/10003861024
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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
Persistent link: https://www.econbiz.de/10003973286
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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
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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management
Landsman, Z.; Makov, U. - In: The European journal of finance 17 (2011) 3/4, pp. 307-320
Persistent link: https://www.econbiz.de/10009155400
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011431503