Similar Search Results

The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …

Persistent link: https://www.econbiz.de/10011381335

Portfolio diversification effects of downside risk

Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.

the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …

Persistent link: https://www.econbiz.de/10011343318

Robust portfolio rebalancing with cardinality and diversification constraints

Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721

Persistent link: https://www.econbiz.de/10012653708

Rao's quadratic entropy and maximum diversification indexation

Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Quantitative finance 18 (2018) 6, pp. 1017-1031

Persistent link: https://www.econbiz.de/10011911262

Kurtosis-based risk parity : methodology and portfolio effects

Braga, M. D.; Nava, C. R.; Zoia, M. G. - In: Quantitative finance 23 (2023) 3, pp. 453-469

Persistent link: https://www.econbiz.de/10014232668

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581