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Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … turnover, and the degree of diversification. DR outperforms other strategies. In particular, DR shows the highest return and …

Persistent link: https://www.econbiz.de/10013358817

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

Alternative capital requirement for insurers : possibilities and issues

Zariņa, Ilze; Voronova, Irina; Pettere, Gaida - In: International journal of economics and business … 21 (2021) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10012508726

Tail risks in household finance

Ardakani, Omid M.; Ajina, Rawan - In: Finance research letters 69 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015079725

Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory

Kellner, Ralf; Gatzert, Nadine - In: Journal of banking & finance 37 (2013) 11, pp. 4353-4367

Persistent link: https://www.econbiz.de/10010247034

Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Stress-testing for portfolios of commodity futures

Paraschiv, Florentina; Mudry, Pierre-Antoine; Andrieş, … - In: Economic modelling 50 (2015), pp. 9-18

Persistent link: https://www.econbiz.de/10011439604

Evaluating the default risk of bond portfolios with extreme value theory

Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668

Persistent link: https://www.econbiz.de/10011440981