Results 1 to 10 of about 37,464 (117)
Quaternion Valued Risk Diversification. [PDF]
Entropy (Basel), 2020 Risk diversification is an important topic for portfolio managers. Various portfolio optimization algorithms have been developed to minimize portfolio risk under certain constraints. As an extension of the complex risk diversification portfolio proposed by Uchiyama, Kadoya, and Nakagawa in January 2019 (Yusuke et al. Entropy.
Sugitomo S, Maeta K.
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Complex Valued Risk Diversification. [PDF]
Entropy (Basel), 2019 Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constraints, including expected returns. We propose a portfolio construction method that incorporates the complex valued principal component analysis into the risk ...
Uchiyama Y, Kadoya T, Nakagawa K.
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Sparse and risk diversification portfolio selection. [PDF]
Optim Lett, 2023 Portfolio risk management has become more important since some unpredictable factors, such as the 2008 financial crisis and the recent COVID-19 crisis. Although the risk can be actively managed by risk diversification, the high transaction cost and managerial concerns ensue by over diversifying portfolio risk.
Li Q, Zhang W.
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Risk, Ambiguity, and the Value of Diversification [PDF]
Management Science, 2021 Diversification is a basic economic principle that helps to hedge against uncertainty. It is, therefore, intuitive that both risk aversion and ambiguity aversion should positively affect the value of diversification. In this paper, we show that this intuition (1) is true for risk aversion but (2) is not necessarily true for ambiguity aversion.
Berger, Loïc, Eeckhoudt, Louis
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Risk, jumps, and diversification [PDF]
Journal of Econometrics, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bollerslev, T, Law, TH, Tauchen, G
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Diversification Quotients: Quantifying Diversification via Risk Measures
Management Science, 2022 We establish the first axiomatic theory for diversification indices using six intuitive axioms: nonnegativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these axioms, called the diversification quotients (DQs), are defined based on a parametric family of risk measures.
Xia Han, Liyuan Lin, Ruodu Wang
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Risk Minimization and Portfolio Diversification [PDF]
SSRN Electronic Journal, 2016 We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the portfolio and a financial index is imposed. The optimal portfolio is obtained in closed form.
Farzad Pourbabaee +2 more
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Income diversification and risk for fishermen [PDF]
Proceedings of the National Academy of Sciences, 2013 Catches and prices from many fisheries exhibit high interannual variability, leading to variability in the income derived by fishery participants. The economic risk posed by this may be mitigated in some cases if individuals participate in several different fisheries, particularly if revenues from those fisheries are uncorrelated or vary asynchronously.
Stephen, Kasperski, Daniel S, Holland
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Diversification as Risk Minimization
Proceedings of the Nineteenth ACM International Conference on Web Search and Data MiningUsers tend to remember failures of a search session more than its many successes. This observation has led to work on search robustness, where systems are penalized if they perform very poorly on some queries. However, this principle of robustness has been overlooked within a single query.
Rikiya Takehi +2 more
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Was Prometheus Unbound by Chance? Risk, Diversification, and Growth [PDF]
Journal of Political Economy, 1997 This paper offers a theory of development that links the degree of market incompleteness to capital accumulation and growth. At early stages of development, the presence projects limits the degree of risk spreading (diversification) that the economy can achieve.
Acemoglu, Daron, Zilibotti, Fabrizio
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