such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of …

that MD portfolios exhibit greater diversification and a higher Sharpe ratio than other investment strategies, this was not …

, review related metrics in the literature for measuring diversification …

This paper implements a parsimonious and practical methodology to examine the diversification potential of … international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal …

strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of … diversification benefits. The higher is an investor's risk aversion, the more beneficial is diversification into hedge funds …

We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing … methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based … import. To resolve this we propose that the purpose of diversification is most helpfully viewed as reducing the variance of …

diversification effect. However, the diversification effect is not robust, and is not borne out by much statistical evidence. We … trades provide a diversification effect and robustly enhance the risk-return profile of an underlying portfolio, both …

Given Markowitz's mean-risk model, maximization of diversification is established as an additional investment target … additional diversification parameters and should therefore lead to an improved mapping of economic reality. The main focus is on … the introduction of diversification functions which make diversification quantifiable and which are used as third …