moments and the performance of optimal versus naive diversification. These relations not only imply strong performance …

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …

Asset diversification has long been fundamental to investment risk mitigation. We compute new long-term country …-specific indices of diversification potential for equity, sovereign debt, and real estate. Findings for the 1986-2021 study period … indicate markedly declining or persistently dampened diversification potential for all asset classes. Declines in …

We analyze the introduction of a diversification constraint into the portfolio optimization program. We show that such … uncertainty approach, we provide an optimal weighting parameter for the identity matrix, and then an optimal diversification …

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …

The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the … diversification ratio. In empirical and Monte Carlo experiments, the resulting regularized rules are compared to several strategies …

diversification, and trading behavior. Standard finance theory predicts the optimal investment behavior of rational agents with …Asset allocation and portfolio diversification decisions have important welfare and policy implications. This chapter … from theory predictions. The chapter also provides a discussion of empirical regularities that point to these deviations …

The paper examines whether bank diversification in multiple dimensions can protect bank lending from uncertainty shocks … significantly alleviated by bank diversification in the loan portfolio, income, and funding aspects. Our findings offer practical … implications for regulators and banks themselves: bank diversification can effectively act as a lending shock absorber in periods …

Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the … effect of owners' portfolio diversification on their firms' investment levels is positive for publicly-traded firms and tends …