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The Maximum Diversification index
Diyarbakırlıoğlu, Erkin; Satman, Mehmet H. - In: The journal of asset management 14 (2013) 6, pp. 400-409
Persistent link: https://www.econbiz.de/10010258476
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Insights to systematic risk and diversification across a joint probability distribution
Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150
Persistent link: https://www.econbiz.de/10011457218
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Diversification with risk factors and investable hedge fund indices
Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116
Persistent link: https://www.econbiz.de/10011411941
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Portfolio optimisation in an uncertain world
Jong, Marielle de - In: The journal of asset management 19 (2018) 4, pp. 216-221
Persistent link: https://www.econbiz.de/10011891167
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Diversification quotients based on VaR and ES
Han, Xia; Lin, Liyuan; Wang, Ruodu - In: Insurance / Mathematics & economics 113 (2023), pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
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Risk concentration and diversification : second-order properties
Degen, Matthias; Lambrigger, Dominik D.; Segers, Johan - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 541-546
Persistent link: https://www.econbiz.de/10003981150
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Correlation order, merging and diversification
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 325-332
Persistent link: https://www.econbiz.de/10009517561
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Portfolio selection in the presence of systemic risk
Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
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Pure return persistence, Hurst exponents and hedge fund selection : a practical note
Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330
Persistent link: https://www.econbiz.de/10011634661
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Efficient skewness/semivariance portfolios
Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro … - In: The journal of asset management 17 (2016) 5, pp. 331-346
Persistent link: https://www.econbiz.de/10011634675