Portfolio Selection under Systemic Risk
(2023)
Journal Article
Lin, W., Olmo, J., & Taamouti, A. (online). Portfolio Selection under Systemic Risk. Journal of Money, Credit and Banking, https://doi.org/10.1111/jmcb.13038
This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short-selling restrictions and numerically when short-selling restrictions... Read More about Portfolio Selection under Systemic Risk.