Contagion of self-fulfilling financial crises due to diversification of investment portfolios.
Itay GoldsteinAdy PauznerPublished in: J. Econ. Theory (2004)
Keyphrases
- investment decisions
- financial markets
- investment strategies
- portfolio optimization
- portfolio selection
- portfolio management
- early warning
- exchange rate
- optimal portfolio
- decision making
- stock market
- financial institutions
- stock price
- financial data
- tabu search
- limited budget
- cash flow
- banking industry
- long run
- key factors
- sharpe ratio
- transaction costs
- financial crisis
- problems involving
- risk management
- risk aversion
- financial risk
- real option
- diffusion process
- human decision making
- money laundering
- financial information
- stock exchange
- return on investment
- credit risk
- robust optimization
- intelligence analysis
- search result diversification
- data mining
- bi objective
- decision makers
- long term
- search engine