Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market

This paper tests the hypothesis that portfolio diversification can increase the threat of systemic financial risk. The paper provides first a theoretical rationale for the possibility that systemic risk may be increased by the proliferation of financial instruments that lead operators to hold increasingly similar portfolios. Secondly, the paper tests the hypothesis that diversification may result in increasing systematic risk, by analyzing the portfolio dynamics of some of the major world open funds.Systemic Risk, Portfolio Diversification, Mutual Funds, CAPM

Structural Breaks, Price and Income Elasticity, and Forecast of the Monthly Italian Electricity Demand

Insights about electricity demand dynamics is fundamental for investment capacity, optimal energy policies, and a balanced electricity system. This paper presents an empirical analysis of the monthly Italian electricity demand since January 2001 to June 2012. In the first section we conduct the analysis of structural breaks in the electricity demand finding that the series has two structural breaks in August 2002 and August 2004 as market liberalization effects on consumption. In the second part of the paper we estimate demand price elasticities both for residential and industrial sector. As expected from the electricity economics literature concerning elasticities estimates, we find that the long run price and income elasticities are more price elastic than the short run both in industrial and residential consumption. In the third and last section, we compare two different forecasting models: the Hidden Markov Models (HMM) and the Holt Winters (H-W) seasonal smoothing method. Considering the Mean Absolute Percentage Error (MAPE), the HMM approach seems to show a superiority in forecasting the monthly electricity demand compared to the H-W methodology

Structural Breaks, Price and Income Elasticity, and Forecast of the Monthly Italian Electricity Demand

Insights about electricity demand dynamics is fundamental for investment capacity, optimal energy policies, and a balanced electricity system. This paper presents an empirical analysis of the monthly Italian electricity demand since January 2001 to June 2012. In the first section we conduct the analysis of structural breaks in the electricity demand finding that the series has two structural breaks in August 2002 and August 2004 as market liberalization effects on consumption. In the second part of the paper we estimate demand price elasticities both for residential and industrial sector. As expected from the electricity economics literature concerning elasticities estimates, we find that the long run price and income elasticities are more price elastic than the short run both in industrial and residential consumption. In the third and last section, we compare two different forecasting models: the Hidden Markov Models (HMM) and the Holt Winters (H-W) seasonal smoothing method. Considering the Mean Absolute Percentage Error (MAPE), the HMM approach seems to show a superiority in forecasting the monthly electricity demand compared to the H-W methodology

Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market

This paper tests the hypothesis that portfolio diversification can increase the threat of systemic financial risk. The paper provides first a theoretical rationale for the possibility that systemic risk may be increased by the proliferation of financial instruments that lead operators to hold increasingly similar portfolios. Secondly, the paper tests the hypothesis that diversification may result in increasing systematic risk, by analyzing the portfolio dynamics of some of the major world open funds