Cover Image

Diversification and Stochastic Dominance: When All Eggs Are Better Put in One Basket

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Vincent, Léonard
Format:	Preprint
Published:	2025
Subjects:	Risk Management Probability 60E15 (Primary) 60G70, 60G50, 91G10 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Properties of the entropic risk measure EVaR in relation to selected distributions
by: Mishura, Yuliya, et al.
Published: (2024)

Slepian model based independent interval approximation for the level excursion distributions
by: Bengtsson, Henrik, et al.
Published: (2024)

The Slepian model based independent interval approximation of persistency and zero-level excursion distributions
by: Bengtsson, Henrik, et al.
Published: (2024)

Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)

Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)

Sojourns of locally self-similar Gaussian processes
by: Novikov, Svyatoslav M.
Published: (2024)

Some FKG inequalities for stochastic processes
by: Legrand, Alexandre
Published: (2024)

Extremal Process of Last Progeny Modified Branching Random Walks
by: Ghosh, Partha Pratim, et al.
Published: (2024)

Maximum interpoint distance of high-dimensional random vectors
by: Heiny, Johannes, et al.
Published: (2023)

On a conjecture of Talagrand on selector processes and a consequence on positive empirical processes
by: Park, Jinyoung, et al.
Published: (2022)

A Markov approach to credit rating migration conditional on economic states
by: Kalkbrener, Michael, et al.
Published: (2024)

The predicable dance of random walk: local limit theorems on finitely-generated abelian groups
by: Randles, Evan, et al.
Published: (2025)

Continuous time analysis of fleeting discrete price moves
by: Shephard, Neil, et al.
Published: (2014)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Stochastic ordering in multivariate extremes
by: Corradini, Michela, et al.
Published: (2022)

Fractional Compound Poisson Random Fields on Plane
by: Vishwakarma, P., et al.
Published: (2025)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Convergence rate of the occupation measure of classes of ergodic processes toward their invariant distribution in mean Wasserstein distance
by: Pagès, Gilles, et al.
Published: (2026)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

A Clarifying Note on Long-Horizon Investment and Dollar-Cost Averaging: An Effective Investment Exposure Perspective
by: Sato, Zeusu
Published: (2025)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Moment conditions for random coefficient AR($\infty$) under non-negativity assumptions
by: Maillard, Pascal, et al.
Published: (2022)

No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)

Characterizing the asymptotic and catalytic stochastic orders on topological abelian groups
by: Fritz, Tobias
Published: (2020)

Characterisation of distributions via record-like observations
by: Gouet, Raúl, et al.
Published: (2025)

Stochastic control with dividend payments and capital injections for Markov additive processes
by: Noba, Kei
Published: (2026)

Convergence to Stable Laws and a Local Limit Theorem for Products of Positive Random Matrices
by: Mei, Jianzhang, et al.
Published: (2025)

Convergence of Empirical Measures for i.i.d. samples in $W^{-α, p}$
by: Iyer, Gautam, et al.
Published: (2025)

Large deviation probabilities for sums of censored random variables with regularly varying distribution tails
by: Chong, Aaron, et al.
Published: (2025)

Passage-times for partially-homogeneous reflected random walks on the quadrant
by: da Costa, Conrado, et al.
Published: (2023)

A martingale-type characterisation of the Gaussian free field and fractional Gaussian free fields
by: Aru, Juhan, et al.
Published: (2024)

Levy's second arcsine law via the ballot theorem
by: Pitters, Helmut H.
Published: (2025)

Set-indexed and multiple sums in high dimensions
by: Jin, Bochen, et al.
Published: (2026)

Occupation times and areas derived from random sampling
by: Aurzada, Frank, et al.
Published: (2024)

Bounding suprema of canonical processes via convex hull
by: Latała, Rafał
Published: (2022)

Estimates on Escape Times for the Elephant Random Walk
by: André, Morgan, et al.
Published: (2026)

Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)

Superdiffusive planar random walks with polynomial space-time drifts
by: da Costa, Conrado, et al.
Published: (2024)