Kole, Erik; Verbeek, Marno; Koedijk, Koedijk, C.G. - Erasmus Research Institute of Management (ERIM), … - 2004
Systemic crises can largely affect asset allocations due to the rapid deterioration of the risk-return trade-off. We investigate the effects of systemic crises, interpreted as global simultaneous shocks to financial markets, by introducing an investor adopting a crisis ignorant or crisis...