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Diversification and the Distribution of Portfolio Variance, Part 1 : Sums of IID Variables and Higher-Order Moments
Fleming, Brian - 2020
, review related metrics in the literature for measuring diversification …
Persistent link: https://www.econbiz.de/10012853193
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Diversification and the Distribution of Portfolio Variance, Part 2 : Volatility Stability as a Measure of Diversification
Fleming, Brian - 2020
We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing … methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based … import. To resolve this we propose that the purpose of diversification is most helpfully viewed as reducing the variance of …
Persistent link: https://www.econbiz.de/10012828842
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Bitcoin and liquidity risk diversification
Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819160
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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Output value risk for commodity producers : the uncertain benefits of diversification
Merener, Nicolas; Steglich, Maria Eugenia - In: World development : the multi-disciplinary … 101 (2018), pp. 322-333
Persistent link: https://www.econbiz.de/10011976114
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The risk-reversal premium
Hull, Blair; Sinclair, Euan - In: The journal of investment strategies 11 (2022) 1, pp. 59-75
Persistent link: https://www.econbiz.de/10014335810
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Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models
Colon, James - 2013
Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...
Persistent link: https://www.econbiz.de/10013086014
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Target volatility strategies for group self-annuity portfolios
Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 591-617
Persistent link: https://www.econbiz.de/10013270078
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...
Persistent link: https://www.econbiz.de/10013363078