The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets ….The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential … achieve some confidence level of solvency we demonstrate that diversification pays when optimizing the use of the equity …

diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about … downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …