examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …

diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … investment universe (size, asset classes and features of the asset classes), the investor’s characteristics, the change over time … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

increase in COVID-19 cases and stock returns, suggesting that time-varying conditional correlations occur and are generally …

variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … for portfolio diversification (hedging) in multi-cap investing during the medium-to-long run (short run) only. Like total …, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the …

, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show …

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 …

framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …