In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its … the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of … individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through …

With a focus on risk, classical portfolio theory assumes that probabilities of future outcomes are known. In reality … holding a fully diversified portfolio is not necessarily optimal. It challenges the conventional wisdom which asserts that … investors should hold such a portfolio …

We compare the equal-weight naive 1/N portfolio with mean-variance strategies from the perspective of mispricing (alpha …-variance efficient portfolio in the absence of mispricing. With mispricings, mean-variance strategies can overcome the difficulty brought …

We develop a model of portfolio choice to nest the views of Keynes - who advocates concentration in a few familiar … assets - and Markowitz - who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity … ambiguous about all assets, then the optimal portfolio corresponds to Markowitz’s fully diversified portfolio. In contrast, when …

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the … venture funds, we find a high market beta. For buyout funds, we find a low beta. Though we have a small sample, our results …

useful treatment to the problems of asset pricing and diversification. Hence, the new approach contained in the post …