risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the … estate market. We observe the maximization of EVA and the expected return maximizing concurrently, but the minimizing risk of … EVA is diversified with the minimization of portfolio risk. We observe that the max weight that a residential asset takes …

diversification within our proposed framework. …

these stocks in diversifying portfolios, analyzing their return potential and risk profiles. Our analysis includes various … investment scenarios, focusing on common AI-related stocks in the United States. We explore the influence of risk management …

332 firms (from COMPUSTAT) were used to empirically test the relationships between diversification and risk, and … desynchronicity and risk. The results show that diversification alone will not always lead to a lower corporate risk. To reduce risk …A longstanding objective of managers is to reduce risk to their businesses. The conventional strategy for risk …

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …

on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis. …