of sectors diversification …

portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses …

In this paper, we re-examine investors' diversification attitude in the mean-variance model from the perspective of … Markowitz (1952)'s principle of diversification. Our analysis is based on the diversification returns, the specific Markowitz … (1952)'s principle of diversification measure in the mean-variance model. We show, regardless of whether or not the risk …

strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of … diversification benefits. The higher is an investor's risk aversion, the more beneficial is diversification into hedge funds …

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …

Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor … performance of multifactor funds relative to two homemade factor diversification strategies, which simply combine single …