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The cost of diversification over time, and a simple way to improve target-date funds

Levy, Haim; Levy, Moshe - In: Journal of banking & finance 122 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012659656

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

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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

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Firm heterogeneity and credit risk diversification

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

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Time diversification and stochastic dominance

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

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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...