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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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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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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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Option pricing and foreign investment under political risk
Cherian, Joseph A.; Perotti, Enrico - 1999
Persistent link: https://www.econbiz.de/10001374827
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Banking and trading
Boot, Arnoud W. A.; Ratnovski, Lev - 2012
Persistent link: https://www.econbiz.de/10010190997
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On the extent of economic integration : a comparison of EU countries and US states
Bowen, Harry P.; Munandar, Haris; Viaene, Jean-Marie - 2010
European economic integration is commonly believed to be incomplete, and that further reforms are needed. In this context, the union of U.S. states is considered the benchmark of complete economic integration and is often the basis for comparison regarding the extent of E.U economic integration....
Persistent link: https://www.econbiz.de/10011379627
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a … investment hold out period, to analyse a naive 1/N diversification strategy, and to contrast its effectiveness with Markowitz … sophisticated optimisation strategies appear to dominate naive diversification. …
Persistent link: https://www.econbiz.de/10011376286
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The political economy of corporate control
Perotti, Enrico C.; Thadden, Ernst-Ludwig von - 2005
In a democracy, a political majority can influence both the corporategovernance structure and the return to human and financial capital.We argue that when financial wealth is sufficiently diffused, thereis political support for a strong governance role for dispersed equitymarket investors, and...
Persistent link: https://www.econbiz.de/10011346462
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The political economy of corporate control
Perotti, Enrico C.; Thadden, Ernst-Ludwig von - 2005
Persistent link: https://www.econbiz.de/10003204007