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The limits of diversification when losses may be large · Study

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ArticleThe limits of diversification when losses may be large

Rustam Ibragimov2007

OA

Articlegreen2007

The limits of diversification when losses may be large

Rustam Ibragimov · Johan Waldén

166 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 166 citations exist upstream.

References

1976Theory of the firm: Managerial behavior, agency costs and ownership structure 1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1981Credit Rationing in Markets with Imperfect Information 1999Coherent Measures of Risk 1965The Behavior of Stock-Market Prices 1976The arbitrage theory of capital asset pricing 1963The Variation of Certain Speculative Prices

Cited by

2019The Role of Natural Disaster Insurance in Recovery and Risk Reduction 2008Nondiversification Traps in Catastrophe Insurance Markets 2013External Risk Measures and Basel Accords 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples 2015An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates 2008Performance evaluation of portfolio insurance strategies using stochastic dominance criteria 2012Fat tails, VaR and subadditivity 2020Diversification and portfolio theory: a review

Details

Year2007

Typearticle

Published2007-01-26

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations166

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.jbankfin.2006.11.014

openalex_workW1994072709

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