-taking, in that they impede investment managers' ability to exploit the benefits of portfolio diversification, and thus distort …

This paper studies the link between individual investors' portfolio diversification levels and various personal traits … show higher diversification levels possibly because they are better equipped to obtain and process information. Finance … professionals, married investors, and those placing high-volume orders through investment centers show poorer diversification …

Analytic solutions to Risk Parity, Maximum Diversification, and Minimum Variance portfolios provide useful perspectives … Diversification and Minimum Variance portfolios. On the other hand, all investable assets are included in Risk Parity portfolios, and …

portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses …

Striving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio …. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the … diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk …

This paper analyses the diversification properties of country equity factors across six equity factors and twenty … quality. I find substantial diversification benefits along the country dimension as well as the factor dimension. In a … portfolio setting, country diversification significantly reduces the volatility compared to single country investing for each of …

While correlation is the common measure of the benefits of diversification, it is not a good measure. This is for two … reasons. First, the benefits of diversification depend not only on the correlations between stock returns but also on the … diversification. Dispersion is a better measure of the benefits of diversification. Dispersion is the standard deviation of the …

international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and … factor diversification are significant for both in- and out-of-sample periods, and for a realistic range of additional …

This paper investigates the diversification prospects which may be reaped when investing in a mixture of emerging and … diversification potential and therefore risk reduction. Yet, the latter may be counterbalanced by the fact that emerging markets … that emerging markets have offered diversification potential. However we also find evidence of features which make it more …