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The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

Persistent link: https://www.econbiz.de/10011381335

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

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Life insurer cost of equity with asymmetric risk factors

Bajtelsmit, Vickie; Villupuram, Sriram V.; Wang, Tianyang - In: The financial review : the official publication of the … 50 (2015) 3, pp. 435-457

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Robust analysis for downside risk in portfolio management for a volatile stock market

Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96

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Downside risk and the energy hedger's horizon

Conlon, Thomas; Cotter, John - 2012

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Downside risk and the energy hedger's horizon

Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379

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Can advanced markets help diversify risks in frontier stock markets? : evidence from Gulf Arab stock markets

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Rewards for downside risk in Aisan markets

Alles, Lakshman; Murray, Louis - In: Journal of banking & finance 37 (2013) 7, pp. 2501-2509

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Downside risk in multiperiod tracking error models

Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283

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Allocative downside risk aversion

Watt, Richard; Vazquez, Francisco J. - In: International journal of economic theory 9 (2013) 4, pp. 267-277

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