Do specialization benefits outweigh concentration risks in credit portfolios of German banks? [PDF]
Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio.
Böve, Rolf +2 more
core
Spanning with Zero-Price Investment Assets [PDF]
Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments.
Galvani, Valentina, Plourde, Andre
core
Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach [PDF]
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice.
Raúl Ibarra-Ramírez
core
The impact of heavy tails and comovements in downside-risk diversification [PDF]
This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio.
Jesus Gonzalo, Jose Olmo
core
Sintesi di nuovi ligandi della Glicoproteina-P a struttura Ariletilanilinica per lo sviluppo di traccianti per la PET [PDF]
, 2012 Le ATP-binding cassette transporters (trasportatori ABC),fanno parte di una superfamiglia proteica molto diffusa in diversi tipi di organismi: dai procarioti all’uomo.
CORTESE, SAVERIO
core
Financial integration, specialization and systemic risk [PDF]
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks.
Falko Fecht +2 more
core
Shifts in Portfolio Preferences of International Investors: An Application to Sovereign Wealth Funds [PDF]
, 2010 Sá, Filipa, Viani, F.
core +2 more sources
Internal Capital Market Efficiency of Belgian Holding Companies [PDF]
In this paper, we raise the following two questions : (1) do Belgian holding companies operate an internal capital market to transfer financial resources in between their subsidiaries ? And if yes, (2) is the internal capital market efficient ? To answer
Axel, GAUTIER, Malika, HAMADI
core
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices [PDF]
The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies.
Eckhard Platen, Renata Rendek
core