We study risk assessment using an optimal portfolio in which the weights are functions of latent factors and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the...

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to improve portfolio selection. We use factor...

Purpose: This study examines the effect of dividend policy on the ex ante probability of stock price crash and the ex ante probability stock price jump. Design/methodology/approach: We use the data of publicly listed non-financial firms from France and the ex ante measures of crash and jump...