Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 14 (2021) 2/73, pp. 1-10
One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic … increases with diversification, we extend his analysis to show that if one allows for short positions; then the probability of …
