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Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation
Risks, 2022 We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model. We propose a set of eight desirable axioms for this class of diversification measures.
Georges Dionne +2 more
exaly +3 more sources
Network structure, portfolio diversification and systemic risk
Journal of Management Science and Engineering, 2021 We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks.
Shouwei Li
exaly +3 more sources
Финансы: теория и практика, 2022 The financial market integration is important for the investors to have the portfolio diversification of their investment. The investors do the portfolio diversification to the market where they can have higher return with lower risk.The purpose of the ...
R. Patel
doaj +1 more source
Problems of choosing strategies for diversifying companies [PDF]
E3S Web of Conferences, 2021 The paper considers the problems of choosing strategies for diversifying companies. It was revealed that in corporate practice, there is a certain tendency towards moderately diversified companies with related business lines (relational diversification).
Syuzeva Olga, Zheltenkov Alexander
doaj +1 more source
Portfolio Optimization for Extreme Risks with Maximum Diversification: An Empirical Analysis
Risks, 2022 Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions.
Navya Jayesh Mehta, Fan Yang
doaj +1 more source
Bitcoin and Portfolio Diversification: Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2020 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance
Walid Bakry +3 more
openaire +3 more sources
Loan portfolio diversification and bank returns: Do business models and market power matter?
Cogent Economics & Finance, 2021 The paper examines how loan portfolio diversification drives bank returns, mainly focusing on the conditioning roles of business models and market power in this nexus.
Japan Huynh, Van Dan Dang
doaj +1 more source
Diversifikasi Portofolio Kredit, Risiko dan Return Bank
Jurnal Akuntansi, 2023 Banks as financial intermediaries, can diversify their credit portfolios into different sectors. This study aims to determine the effect of credit portfolio diversification on risks borne and returns earned by banks.
Rahmat Setiawan +2 more
doaj +1 more source
Investment Diversification as a Strategy for Reducing Investment Risk [PDF]
Economic Horizons, 2018 Investment diversification is a widely accepted investment strategy, aimed at reducing investment uncertainty, while simultaneously keeping the expected return on investment unaltered.
Miljan Lekovic
doaj +1 more source
Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
Mathematics, 2022 In this work we address the following problem: Having chosen a well diversified portfolio, we show how to improve on its return, maintaining the diversification. In order to achieve this boost on return we construct a neighborhood of the well diversified
Argimiro Arratia +2 more
doaj +1 more source