Connectedness versus diversification: two sides of the same coin

DOI10.1007/s11579-021-00291-4zbMath1468.91148OpenAlexW3128292291MaRDI QIDQ2037770

Maria-Laura Torrente, Pierpaolo Uberti

Publication date: 8 July 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-021-00291-4

zbMATH Keywords

connectednessdiversificationsystemic riskportfolio riskcoherent portfolio diversification measuresproper measures of connectednessvariance inflation factor

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

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• Linear regression.
• Proper measures of connectedness
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Risk parity portfolios with risk factors

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