In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal … to our results, one can take advantages from the diversification effect for marginal risks with finite mean. This …

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … comparison includes annualized portfolio return, modified Sharpe ratio, maximum drawdown, portfolio concentration, portfolio …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non …

number of parameters. We show that, for two disjoint credit portfolios, diversification does not work in a correlated market …

Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there … optimise portfolio risk. We use VaR risk measures to optimise the process. Diversification opportunities are evaluated under … view so that the study results can be interpreted as a stress test in addition to observing the diversification effect. The …