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Financial decision-making under distribution uncertainty

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Insights to systematic risk and diversification across a joint probability distribution

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Semiparametric estimation of multi-asset portfolio tail risk

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Insights to Systematic Risk and Diversification Across a Joint Probability Distribution

Choo, Weihao - 2015

This paper analyses and develops insights to systematic risk and diversification when random, imperfectly dependent …, losses are aggregated. Systematic risk and diversification are shown to vary across layers of component losses according to … local dependence and volatility structures. Systematic risk is high and diversification is weak overall if high risk layers …

Persistent link: https://www.econbiz.de/10013014384