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2021
This chapter presents the various theories and models that are deployed in portfolio optimization.
Shveta Singh, Surendra S. Yadav
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This chapter presents the various theories and models that are deployed in portfolio optimization.
Shveta Singh, Surendra S. Yadav
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Risk measures: rationality and diversification [PDF]
, 2008 An important tool in risk management are monetary risk measures. With these measures, one determines the financial positions that are acceptable. A risk measure gives the cash equivalent to be added to a position (negative values determine the reserves present in a position) to make the position acceptable.
Cerreia-Vioglio, Simone +3 more
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Pandemic Risk and Diversification
SSRN Electronic Journal, 2020We investigate the impact of information disclosed under SFAS 131 on idiosyncratic and total stock risk. For identification, we exploit an exogenous shock on volatility expectations. We are the first to show that international diversification alleviates the post-shock increase in idiosyncratic, total stock volatility and total skewness.
Enrico Onali, Danilo V. Mascia
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DIVERSIFICATION OF RISK AND GROWTH
Macroeconomic Dynamics, 2004This paper provides evidence that domestic opportunities to share risk have contributed to slower growth. We first provide a simple model economy that demonstrates how a country's ability to diversify risk is linked to its growth rate. In the context of the model economy, we then investigate empirically whether there is any systematic relationship ...
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Risk, Market Sensitivity, and Diversification
Financial Analysts Journal, 1972Much can be learned about the risk character of a portfolio by measuring its market sensitivity and diversification. The author explains the meaning of these two key measures and shows how to calculate their values, using corresponding measures for the individual securities in the portfolio.
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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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Risk and diversification in theory choice
Synthese, 1996How can it be rational to work on a new theory that does not yet meet the standards for good or acceptable theories? If diversity of approaches is a condition for scientific progress, how can a scientific community achieve such progress when each member does what it is rational to do, namely work on the best theory?
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Diversification of risk and saving
The Quarterly Review of Economics and Finance, 2003Abstract This paper provides evidence that domestic opportunities to share risk have contributed to lower rates of private saving. Two econometric procedures are used in the analysis: (1) traditional instrumental variables estimation, and (2) dynamic panel methods. The results reveal a negative relationship between domestic opportunities to diversify
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Trade policy and risk diversification [PDF]
, 2006 The paper analyses the influence of trade policies on the investment decisions of a representative individual. In particular, the increased uncertainty of future income is considered in the investment behaviour of individuals. The optimal portfolio-decision of a representative working individual is analysed in comparison to a non-working shareholder ...
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Diversification and systemic risk
Journal of Banking & Finance, 2014Abstract Portfolio diversification makes investors individually safer but creates connections between them through common asset holdings. Such connections create “endogenous covariances” between assets and investors, and enhance systemic risk by propagating shocks swiftly through the system.
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