Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000268711> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W2000268711 abstract "Purpose – The purpose of this paper is to apply safety‐first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis.Design/methodology/approach – Safety‐first portfolios of US equities bilaterally combined with 12 developed and emerging region global equity indices are obtained for 911. Extreme value theory and safety‐first principles are used to optimize these portfolios for US risk‐averse investors. The actual performances of all portfolios in the post‐911 period are compared to the optimal results. The robustness of the results is examined by replicating the analysis for the period following July 7, 2006, when no actual terrorist attacks occurred on US soil.Findings – Optimal ex ante (ex post) safety‐first portfolios on 911 have high (low) US weights, and on July 7, 2006 low US weights. The differences are attributed to changes in market projections ..." @default.
- W2000268711 created "2016-06-24" @default.
- W2000268711 creator A5047695842 @default.
- W2000268711 creator A5078922336 @default.
- W2000268711 date "2010-01-05" @default.
- W2000268711 modified "2023-09-23" @default.
- W2000268711 title "Safety‐first portfolio optimization after September 11, 2001" @default.
- W2000268711 cites W1554253427 @default.
- W2000268711 cites W1767956281 @default.
- W2000268711 cites W1966158196 @default.
- W2000268711 cites W1980314087 @default.
- W2000268711 cites W1982735580 @default.
- W2000268711 cites W1985649437 @default.
- W2000268711 cites W1991614114 @default.
- W2000268711 cites W2002952683 @default.
- W2000268711 cites W2009169570 @default.
- W2000268711 cites W2048649579 @default.
- W2000268711 cites W2056218466 @default.
- W2000268711 cites W2058560398 @default.
- W2000268711 cites W2058823492 @default.
- W2000268711 cites W2062533889 @default.
- W2000268711 cites W2099208941 @default.
- W2000268711 cites W2109528417 @default.
- W2000268711 cites W2110779259 @default.
- W2000268711 cites W2119305404 @default.
- W2000268711 cites W2135177937 @default.
- W2000268711 cites W2136118318 @default.
- W2000268711 cites W2139389913 @default.
- W2000268711 cites W2140327107 @default.
- W2000268711 cites W2165714389 @default.
- W2000268711 cites W2177667170 @default.
- W2000268711 cites W3122539873 @default.
- W2000268711 cites W3124497024 @default.
- W2000268711 cites W3124627140 @default.
- W2000268711 cites W3125101120 @default.
- W2000268711 cites W4243655293 @default.
- W2000268711 doi "https://doi.org/10.1108/15265941011012679" @default.
- W2000268711 hasPublicationYear "2010" @default.
- W2000268711 type Work @default.
- W2000268711 sameAs 2000268711 @default.
- W2000268711 citedByCount "1" @default.
- W2000268711 countsByYear W20002687112018 @default.
- W2000268711 crossrefType "journal-article" @default.
- W2000268711 hasAuthorship W2000268711A5047695842 @default.
- W2000268711 hasAuthorship W2000268711A5078922336 @default.
- W2000268711 hasConcept C106159729 @default.
- W2000268711 hasConcept C122251271 @default.
- W2000268711 hasConcept C139719470 @default.
- W2000268711 hasConcept C149782125 @default.
- W2000268711 hasConcept C162118730 @default.
- W2000268711 hasConcept C162324750 @default.
- W2000268711 hasConcept C17744445 @default.
- W2000268711 hasConcept C199539241 @default.
- W2000268711 hasConcept C199728807 @default.
- W2000268711 hasConcept C202655437 @default.
- W2000268711 hasConcept C203133693 @default.
- W2000268711 hasConcept C2780821815 @default.
- W2000268711 hasConcept C9725762 @default.
- W2000268711 hasConceptScore W2000268711C106159729 @default.
- W2000268711 hasConceptScore W2000268711C122251271 @default.
- W2000268711 hasConceptScore W2000268711C139719470 @default.
- W2000268711 hasConceptScore W2000268711C149782125 @default.
- W2000268711 hasConceptScore W2000268711C162118730 @default.
- W2000268711 hasConceptScore W2000268711C162324750 @default.
- W2000268711 hasConceptScore W2000268711C17744445 @default.
- W2000268711 hasConceptScore W2000268711C199539241 @default.
- W2000268711 hasConceptScore W2000268711C199728807 @default.
- W2000268711 hasConceptScore W2000268711C202655437 @default.
- W2000268711 hasConceptScore W2000268711C203133693 @default.
- W2000268711 hasConceptScore W2000268711C2780821815 @default.
- W2000268711 hasConceptScore W2000268711C9725762 @default.
- W2000268711 hasLocation W20002687111 @default.
- W2000268711 hasOpenAccess W2000268711 @default.
- W2000268711 hasPrimaryLocation W20002687111 @default.
- W2000268711 hasRelatedWork W1558269465 @default.
- W2000268711 hasRelatedWork W2014654412 @default.
- W2000268711 hasRelatedWork W2022786907 @default.
- W2000268711 hasRelatedWork W2058823492 @default.
- W2000268711 hasRelatedWork W2074468963 @default.
- W2000268711 hasRelatedWork W2137042917 @default.
- W2000268711 hasRelatedWork W2265445262 @default.
- W2000268711 hasRelatedWork W2401390862 @default.
- W2000268711 hasRelatedWork W2776553712 @default.
- W2000268711 hasRelatedWork W2787067527 @default.
- W2000268711 hasRelatedWork W2885370227 @default.
- W2000268711 hasRelatedWork W2972290738 @default.
- W2000268711 hasRelatedWork W3121267290 @default.
- W2000268711 hasRelatedWork W3122770526 @default.
- W2000268711 hasRelatedWork W3159972182 @default.
- W2000268711 hasRelatedWork W3177385242 @default.
- W2000268711 hasRelatedWork W3183802865 @default.
- W2000268711 hasRelatedWork W3200088145 @default.
- W2000268711 hasRelatedWork W595787949 @default.
- W2000268711 hasRelatedWork W74187783 @default.
- W2000268711 isParatext "false" @default.
- W2000268711 isRetracted "false" @default.
- W2000268711 magId "2000268711" @default.
- W2000268711 workType "article" @default.