from dependent risk factors. Moreover, we examine the diversification effects under this setup …

Analytic solutions to Risk Parity, Maximum Diversification, and Minimum Variance portfolios provide useful perspectives … Diversification and Minimum Variance portfolios. On the other hand, all investable assets are included in Risk Parity portfolios, and …

Striving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio …. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the … diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk …

This paper analyses and develops insights to systematic risk and diversification when random, imperfectly dependent …, losses are aggregated. Systematic risk and diversification are shown to vary across layers of component losses according to … local dependence and volatility structures. Systematic risk is high and diversification is weak overall if high risk layers …

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new … solvency regulations allow companies to include diversification in their computation of risk-based capital (RBC). The question … well known fact among traders in financial markets that "diversification works the worst when one needs it the most''. In …

Diversification and the equity ratio is studied. Banks report - after controlling for counterfactual observable correlation - a higher … diversification and thereby a lower VaR if equity is scarce. I exploit a discontinuity in the expected benefit of under …-reporting. Overall, this paper suggests that banks actively use the diversification component in their VaR models to manage the reported …

number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the … diversification benefit be? And how should the benefit be allocated to the individual risks?. We propose a simple statistical solution …