Carrying the (paper) burden: A portfolio view of systemic risk and optimal bank size
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Other versions of this item:
- Jaap W.B. Bos & Martien Lamers & Victoria Purice, 2014. "Carrying the (Paper) Burden: A Portfolio View of Systemic Risk and Optimal Bank Size," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/882, Ghent University, Faculty of Economics and Business Administration.
References listed on IDEAS
- Ledoit, Olivier & Wolf, Michael, 2003.
"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,"
Journal of Empirical Finance,
Elsevier, vol. 10(5), pages 603-621, December.
- Wolf, Michael & Ledoit, Olivier, 2000. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS 10089, Universidad Carlos III de Madrid. Departamento de Estadística.
- Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
More about this item
KeywordsOptimization Techniques; Programming Models; Dynamic Analysis; Financial Markets and the Macroeconomy; Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy; Banks; Depository Institutions; Micro Finance Institutions; Mortgages;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-14 (All new papers)
- NEP-BAN-2014-06-14 (Banking)
- NEP-MAC-2014-06-14 (Macroeconomics)
- NEP-MON-2014-06-14 (Monetary Economics)
- NEP-RMG-2014-06-14 (Risk Management)
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