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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 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/10011381581
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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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Global loss diversification in the insurance sector
Sheremet, Oleg; Lucas, André - 2008
We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the … distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate … time, thus reducing the scope for international diversification of large losses in this sector. …
Persistent link: https://www.econbiz.de/10011377065
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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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Portfolio diversification effects of downside risk
Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.
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/10011343318
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 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/10011346454
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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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Profitability and number of firms : their dynamic interaction in Dutch retailing
Carree, Martin Anthony; Thurik, Adriaan R. - 1992
Persistent link: https://www.econbiz.de/10000122479
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A note on a profit maximizing location model
Zhang, Shuzhong - 1997
In this paper we discuss a locational model with a profit-maximizing objective. The model can be illustrated by the … its total profit, the firm has to decide:1) where to locate its distribution warehouse to serve the customers;2) the price … profit. We show that this problem can besolved in polynomial time. …
Persistent link: https://www.econbiz.de/10010232858
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Data sparseness and variance in accounting profitability
Stavropoulos, Spyridon; Burger, Martijn J.; Skuras, … - 2015
A central question in strategic management is why some firms perform better than others. One approach to addressing this question empirically is to decompose the variance in firm-level profitability into firm, industry, location, and year components. Although it is well established that data...
Persistent link: https://www.econbiz.de/10010477109