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Diversification disasters

Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: Journal of financial economics 99 (2011) 2, pp. 333-348

Persistent link: https://www.econbiz.de/10009242355

Nondiversification traps in catastrophe insurance markets

Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: The review of financial studies 22 (2009) 3, pp. 959-993

Persistent link: https://www.econbiz.de/10003827644

Equilibrium with monoline and multiline structures

Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 595-632

Persistent link: https://www.econbiz.de/10011991270

Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

Ibragimov, Rustam; Walden, Johan - In: Annals of Finance 7 (2011) 3, pp. 285-318

Persistent link: https://www.econbiz.de/10009326711

Portfolio diversification and value at risk under thick-tailedness

Ibragimov, Rustam - In: Quantitative Finance 9 (2009) 5, pp. 565-580

This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-tailedness. We use a notion of diversification based on majorization theory that will be explained in the text. The paper shows that the stylized fact that portfolio diversification is preferable...

Persistent link: https://www.econbiz.de/10004966869

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157