diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques …

angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been …

. This study aims to analyze the phenomenon of idiosyncratic risk in Indonesia, whether it is related to price … liquidity levels and stock liquidity risk. Our research revealed the relationship between information asymmetry in the … stock liquidity, liquidity risk, and information asymmetry. The findings of this study are expected to contribute to the …

more diversified strategy. Overall, our study provides novel evidence on the benefit of diversification by demonstrating … the importance of geographic scope and diversification at times of crises. Specifically, we show corporate diversification …, diversification could even become essential for larger firms that are expected by the market to be more diversified. …

This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored … focus. Our results suggest that diversification within, but not across industries, associates with higher buyout fund … performance. We do not find a significant relationship between geographical diversification and performance. These results partly …

models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification … function preserves the respective properties of these risk measures. Examples of diversification functions are given by …The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it …