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Time-varying integration and international diversification strategies
Baele, Lieven; Inghelbrecht, Koen - In: Journal of empirical finance 16 (2009) 2, pp. 368-387
Persistent link: https://www.econbiz.de/10003856779
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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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Is idiosyncratic risk priced? : the international evidence
Brockman, Paul; Guo, Tao; Vivero, Maria Gabriela; Yu, Wayne - In: Journal of empirical finance 66 (2022), pp. 121-136
Persistent link: https://www.econbiz.de/10013370669
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The diversification benefits and policy risks of accessing China's stock market
Shan, Chenyu; Tang, Dragon Yongjun; Wang, Sarah Qian; … - In: Journal of empirical finance 66 (2022), pp. 155-175
Persistent link: https://www.econbiz.de/10013370737
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A model-independent measure of aggregate idiosyncratic risk
Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896
Persistent link: https://www.econbiz.de/10003776398
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More on minimal entropy-Hellinger martingale measure
Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003336776
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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
Persistent link: https://www.econbiz.de/10003336865
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Risk-reward optimization with discrete-time coherent risk
Cherny, Alexander S. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 571-595
Persistent link: https://www.econbiz.de/10008666990
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Tractable robust expected utility and risk models for portfolio optimization
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 695-731
Persistent link: https://www.econbiz.de/10008667625
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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
Persistent link: https://www.econbiz.de/10003937549