The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …

compute analytically risk measures as VaR or TVaR, and consequently the associated diversification benefit. The explicit … formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models …We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

In the world of investment, the subject of building a portfolio concerning tail risk is still one of the frequently … discussed subjects and unquestionably vital for investors. This paper seeks to examine how the risk measures, lower tail …-dependence based on the copulas approach and Conditional Value-at-Risk (CVaR), affect the portfolio strategies and play important roles …

the first application of stable distributions to real estate portfolio returns provides evidence that diversification … presence of tail parameters being close to normal, the return risk may still be tremendous, and can only be reduced by … diversification effects in property portfolios, and only to a certain time-dependent extent. The results have strong implications for …

number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … diversification benefit be? And how should the benefit be allocated to the individual risks?. We propose a simple statistical solution …

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant … manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk …, which tail risk protection strategies were considered in the literature, their effectiveness and associated costs. We also …

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory … from dependent risk factors. Moreover, we examine the diversification effects under this setup … (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure …

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives … international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross …-hedging is measured, considering Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) for measuring market risk instead of …