Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across …

The study addresses the benefits of a unified stock market in terms of diversification risk for the eight CEE stock …-2019. Portfolio diversification techniques were used to identify risk linked with the eight Central Eastern European stock markets …. The results show that the stock market with the lowest diversification risk was the Bulgarian Stock Exchange, followed by …

I study the asset pricing implications of cumulative prospect theory on portfolio discounts. I extend Barberis and … Huang (2008) and show that a portfolio consisting of lottery-like stocks should trade at a discount due to diversification … mergers and acquisitions, and conglomerate discounts. My findings support cumulative prospect theory from an alternative …

international diversification still important despite the financial integration that might have increased correlations permanently …-industry diversification is more efficient. Finally, diversifying through industries of emerging markets rather than those of developed markets …

A portfolio diversification index is defined as the ratio of an equivalent number of independent assets to the number … of assets. The equivalence is based on either attaining the same diversification benefit or spread reduction. The … diversification benefit is the difference in value of a value maximizing portfolio and the maximum value of the components. The spread …

documented that diversification among risky assets in a particular country leads to risk reduction, but the potential gains are … limited due to high correlations within an economy. Therefore, international portfolio diversification, primarily in stocks … contracts to the international dimension. The findings lend support to the arguments in favor of international diversification …

and rotated Clayton copulas overstate the benefits of diversification in the economy, while the rotated Gumbel and Clayton …

mean-variance efficient. Starting from Markowitz's Modern Portfolio Theory we derive simple (linear regression) tests to … separate stock picking from diversification. Over 60% of the time we cannot reject our null hypothesis of stock picking in … favor of well diversified benchmarks, even for individual stocks. Stock picking dominates during recessions, diversification …