Correlation (DCC) specifications. DCC model outperforms among others and identifies two diversification opportunities with Mexican …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

misattribution between ‘rebalancing returns' which are specific to the act of rebalancing, and ‘diversification returns' which can be … insufficient diversification and excessive transactions costs …

, review related metrics in the literature for measuring diversification …

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 …

such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of …

Recent research advocates volatility diversification for long equity investors. It can even be justified when short … difficulty of predicting when volatility diversification is optimal. Hence insitutional investors should be sceptical of studies …