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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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Risk parity, maximum diversification, and minimum variance : an analytic perspective
Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 39-53
Persistent link: https://www.econbiz.de/10009750766
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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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Diversification : should we be diversifying trends?
Fabozzi, Frank J.; Focardi, Sergio M. - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 1-4
Persistent link: https://www.econbiz.de/10009520397
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Toward maximum diversification
Choueifaty, Yves; Coignard, Yves - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 40-51
Persistent link: https://www.econbiz.de/10009520483
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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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Approximating large diversified portfolios
Hofmann, Norbert; Platen, Eckhard - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 77-88
Persistent link: https://www.econbiz.de/10002177158
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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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Volatility, correlation, and diversification in a multi-factor world
Roll, Richard - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 11-18
Persistent link: https://www.econbiz.de/10009708228
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Optimal capital and risk transfers for group diversification
Filipović, Damir; Kupper, Michael - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 55-76
Persistent link: https://www.econbiz.de/10003643466