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 … of stocks required for a well-diversified portfolio for individual investors, and (5) machine learning methods could …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor …