文章基本信息

标题：Portfolio Diversification through Structured Catastrophe Bonds amidst the Financial Crisis
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作者：Laura-Gabriela Constantin
期刊名称：Petroleum-Gas University of Ploiesti Bulletin : Economic Sciences Series
印刷版ISSN：2284-8576
电子版ISSN：2247-8582
出版年度：2011
期号：3
页码：75-84
出版社：Petroleum-Gas University of Ploiesti
摘要：The paper explores the impact of investing in structured catastrophe bonds on the performance of both European and international well diversified portfolios formed by stocks from developed and emerging countries and other several assets, by focusing on examining its evolution during periods of tranquility, turmoil and slow recovery that characterized the international financial markets recently. The analysis is developed by deriving efficient frontiers shaped by portfolios formed with and without catastrophe bonds and by examining their shifting profile. The main findings reflect that, overall, investing in catastrophe bonds proved to be a prudent strategic decision both in normal, turbulent and recovery times, while the recent crisis had some influences on the performance of the portfolios, even when diversifying by investing in cat bonds. The importance of the analysis resides from studying if adding catastrophe bonds within portfolios improves the risk return profile of investments made at European and international level
关键词：structured catastrophe bonds; alternative risk transfer solutions; international financial ;crisis; portfolio diversification; efficient frontiers