(premium) relative to focused firms. This study suggests that corporate diversification may improve the efficiency of capital …

to provide convincing results. DRP strives for maximum diversification along uncorrelated risk sources. A straightforward …Pursuing risk-based allocation across a universe of commodity assets, we find diversified risk parity (DRP) strategies … way to derive uncorrelated risk sources relies on principal components analysis (PCA). While the ensuing statistical …

, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework … appealing downside risk (DR) framework suggested by Estrada (2008), which applies a similar optimization algorithm as the MV …

In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value-at-Risk … (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst …-case diversification limit is equal to the upper limit of the worst-case diversification ratio under mild conditions on the portfolio …

changes in the diversification nature of banks activities. We analyzed the financial statements of (13) Jordanian banks on …) to measure the diversification degree of revenue, credit, and deposits activities.The study concluded that (a) stock … market has evaluated the changes in revenue diversification more efficiently than changes in the structure of credit or …

and developed markets portfolios show higher returns, lower (tail) risk, and no significant reduction of diversification … preferences towards sustainable investing. The authors report “an unequivocally positive” contribution to risk‐adjusted returns …

number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … diversification benefit be? And how should the benefit be allocated to the individual risks?. We propose a simple statistical solution …