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Home Bias at Home:Local Equity Preference in Domestic Portfolios
Prejudice and Bias Local Range Investment
2015/5/13
Home Bias at Home:Local Equity Preference in Domestic Portfolios.
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...
Strctural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
risk factors structural change long memory fractional cointegration portfolio allocation
2014/6/26
We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper,we point to structural breaks in the volatility of the facto...