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Prospect theory and mean-variance analysis

Levy, Haim; Levy, Moshe - In: The review of financial studies 17 (2004) 4, pp. 1015-1041

Persistent link: https://www.econbiz.de/10002396431

Global business cycles and credit risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2005

Persistent link: https://www.econbiz.de/10003087235

Global business cycles and credit risk

Pesaran, M. Hashem (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002962300

Time diversification and stochastic dominance

Hodges, Charles W.; Levy, Haim; Yoder, James A. - In: Research in finance 21 (2004), pp. 1-15

Persistent link: https://www.econbiz.de/10002976179

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...