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Portfolio diversification and value at risk under thick-tailedness

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Cited by:

  1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  2. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  3. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2014. "Risk in a large claims insurance market with bipartite graph structure," Papers 1410.8671, arXiv.org, revised Nov 2015.
  4. Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
  5. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
  6. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Extreme movements of the Russian stock market and their consequences for management and economic modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 75-92.
  7. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022. "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers 2208.08471, arXiv.org, revised Mar 2024.
  8. Oliver Kley & Claudia Klüppelberg & Gesine Reinert, 2016. "Risk in a Large Claims Insurance Market with Bipartite Graph Structure," Operations Research, INFORMS, vol. 64(5), pages 1159-1176, October.
  9. Lundtofte, Frederik, 2015. "Banks’ pooling of corporate debt: An application of the restated diversification theorem," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 249-263.
  10. Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
  11. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
  12. Enrico Biffis & Erik Chavez, 2014. "Tail Risk in Commercial Property Insurance," Risks, MDPI, vol. 2(4), pages 1-18, September.
  13. Pertaia, Giorgi & Prokhorov, Artem & Uryasev, Stan, 2022. "A new approach to credit ratings," Journal of Banking & Finance, Elsevier, vol. 140(C).
  14. Di Lascio, F. Marta L. & Giammusso, Davide & Puccetti, Giovanni, 2018. "A clustering approach and a rule of thumb for risk aggregation," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 236-248.
  15. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  16. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1162-1175.
  17. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2015. "Conditional risk measures in a bipartite market structure," Papers 1510.00616, arXiv.org.
  18. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  19. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.
  20. Charles Raoul Tchuinkam Djemo & John Weirstrass Muteba Mwamba & Mathias Mandla Manguzvane, 2021. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," The African Finance Journal, Africagrowth Institute, vol. 23(2), pages 36-49.
  21. Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
  22. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  23. Takashi Kanamura, 2023. "Portfolio diversification and sustainable assets from new perspectives," Journal of Asset Management, Palgrave Macmillan, vol. 24(7), pages 581-600, December.
  24. Markus Huggenberger & Peter Albrecht, 2022. "Risk pooling and solvency regulation: A policyholder's perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 907-950, December.
  25. Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan, 2011. "Diversification disasters," Journal of Financial Economics, Elsevier, vol. 99(2), pages 333-348, February.
  26. Claudia Kluppelberg & Miriam Isabel Seifert, 2016. "Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits," Papers 1612.07132, arXiv.org.
  27. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
  28. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
  29. Enrico G. De Giorgi & Ola Mahmoud, 2016. "Naive Diversification Preferences and their Representation," Papers 1611.01285, arXiv.org, revised Nov 2016.
  30. Rustam Ibragimov & Paul Kattuman & Anton Skrobotov, 2021. "Robust Inference on Income Inequality: $t$-Statistic Based Approaches," Papers 2105.05335, arXiv.org, revised Nov 2021.
  31. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
  32. Michael Grabchak, 2014. "Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?," Annals of Finance, Springer, vol. 10(4), pages 553-568, November.
  33. Ibragimov, Rustam, 2014. "On the robustness of location estimators in models of firm growth under heavy-tailedness," Journal of Econometrics, Elsevier, vol. 181(1), pages 25-33.
  34. Yuyu Chen & Ruodu Wang, 2024. "Infinite-mean models in risk management: Discussions and recent advances," Papers 2408.08678, arXiv.org, revised Oct 2024.
  35. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Heavy tails and asymmetry of returns in the Russian stock market," Emerging Markets Review, Elsevier, vol. 32(C), pages 200-219.
  36. Claudia Klüppelberg & Miriam Isabel Seifert, 2019. "Financial risk measures for a network of individual agents holding portfolios of light-tailed objects," Finance and Stochastics, Springer, vol. 23(4), pages 795-826, October.
  37. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
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