Johan Walden - Research
Asset pricing
Heavy-tailed risks
Networks in capital markets
Reseach Interests
The Limits of Diversification When Losses May Be Large (with Rustam Ibragimov), Journal of Banking and Finance, 2007,31(8), 2551-2569.
Publications
Working
papers
Research
Johan Walden
Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008, 42(2), 594-599.
Nondiversification Traps in Catastrophe Insurance Markets (with Dwight Jaffee and Rustam Ibragimov), Review of Financial Studies, 2009, 22(3), 959-993.
Working
papers