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We explore asset holding diversification by Australian households, in particular, the household asset diversification … lower extent of, asset holding diversification. …
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The maximum diversification portfolio as defined by Choueifaty (2011) depends on the vector of asset volatilities and … that the selected portfolio by regularization is asymptotically efficient with respect to the diversification ratio. In …
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Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the optimization. If the mean vector and the covariance matrix are known with certainty, the classical mean-variance optimization of Markowitz (1952) produces optimal portfolios....
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-oriented trading venues. While the pursuit for diversification is likely to be driven by the attractiveness of these investment …
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