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Portfolio diversification effects of downside risk

Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.

Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a...

Persistent link: https://www.econbiz.de/10011343318

Improved detection of rare-event risk of a portfolio with US REITs

So, Leh-Chyan; Yu, Jun-Yang - In: Annals of financial economics 10 (2015) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011408574

Should investors include green bonds in their portfolios? : Evidence for the USA and Europe

Han, Yingwei; Li, Jie - In: International review of financial analysis 80 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013366150

Local hedging of variable annuities in the presence of basis risk

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 611-646

Persistent link: https://www.econbiz.de/10011875672

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011890772