Systemic Risk in the Interbank Market with Overlapping Portfolios.
Shanshan JiangHong FanPublished in: Complex. (2019)
Keyphrases
- investment strategies
- investment decisions
- portfolio optimization
- portfolio management
- decision making
- portfolio selection
- stock market
- optimal portfolio
- black scholes
- risk neutral
- stock price
- financial crisis
- stock exchange
- risk management
- risk aversion
- financial markets
- asset allocation
- risk evaluation
- expected utility
- risk averse
- futures market
- transaction costs
- financial data
- high risk
- risk measures
- market share
- minimum risk
- market data
- early warning
- risk sensitive
- risk assessment
- factor analysis
- electronic markets