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An optimization–diversification approach to portfolio selection
Journal of Global Optimization, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Francesco Cesarone +2 more
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Portfolio Diversification in Concentrated Bond and Loan Portfolios
SSRN Electronic Journal, 2015I develop an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations. The approximation requires no advanced mathematics or statistics, only the summation of large exposures and the evaluation of binomial probabilities.
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Adaptive Portfolios and the Power of Diversification
The Journal of Investing, 2019The article gives a qualitative description of an advisory or discretionary investment process that manages the emotional aspect of investing. Portfolios are adaptive, meaning they automatically adjust their allocation in response to changing market conditions.
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ESSENTIALS OF PORTFOLIO DIVERSIFICATION STRATEGY
The Journal of Finance, 1970MARKOWITZ'S' MODEL of portfolio selection shows how quadratic programming can be used to generate the set of portfolios which are efficient according to the mean-variance criterion. From the efficient set, the investor selects that portfolio which best satisfies his preferences with respect to risk and return.
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Portfolio diversification: An experimental study [PDF]
, 2009 The paper analyses on an experimental basis the phenomenon of non-optimal under-diversification in portfolio choice decisions and investigates the reasons behind it. The most important obstacles for optimal diversification are studied the correlation neglect hypothesis and the overconfidence which both lead to suboptimal diversification decisions.
Zulia Gubaydullina, Markus Spiwoks
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On portfolio risk diversification
AIP Conference Proceedings, 2017The first portfolio risk diversification strategy was put into practice by the All Weather fund in 1996. The idea of risk diversification is related to the risk contribution of each available asset class or investment factor to the total portfolio risk.
Hellinton H. Takada, Julio M. Stern
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International portfolio diversification
International Journal of Accounting and Finance, 2017In this paper, several empirical tests are applied to evaluate: 1) the effectiveness of international diversified stock portfolios in bull and bear markets; 2) the potential gains of diversification strategies for both developed and developing country investors.
Emanuele Teti +4 more
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A Portfolio Diversification Index
The Journal of Portfolio Management, 2006Despite the importance of diversification in portfolio construction, our current methods of measuring it are inefficient. Construction of a Portfolio Diversification Index (PDI) presents a new way to understand the concept. PDI, which measures the number of unique investments in a portfolio, is useful to assess marginal and cumulative diversification ...
Alexander M. Rudin, jonathan S. Morgan
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Portfolio Diversification with Clustering Techniques
2023 IEEE Symposium Series on Computational Intelligence (SSCI), 2023Joy Dip Das +3 more
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A Portfolio Analysis of Conglomerate Diversification
The Journal of Finance, 1969Smith, Keith V, Schreiner, John C
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