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Limited Diversification, Portfolio Inertia, and Ambiguous Correlation
Jiang, Julia - 2020
correlation explains both the limited diversification property and the portfolio inertia property in household portfolios and … retirement accounts. We further provide simulation evidences of the limited diversification and portfolio inertia feature of the …
Persistent link: https://www.econbiz.de/10012835896
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012838336
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Risk Taking, Diversification, and U.S. Bank Size Anomalies
Clark, Brian J. - 2020
diversification index to account for complexity, we find robust evidence consistent with mispricing among the most diversified large …
Persistent link: https://www.econbiz.de/10012839022
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Diversifying Trends
Chevalier, Charles - 2020
sectors in a portfolio diversification context, especially for trend following strategies. In addition, the CoTrend factor …
Persistent link: https://www.econbiz.de/10012843567
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Diversification, Volatility, and Surprising Alpha
Banner, Adrian - 2020
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naïve, non-optimized portfolios tend to outperform a...
Persistent link: https://www.econbiz.de/10012843582
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Volatility as an Asset Class : Holding VIX in a Portfolio
Doran, James - 2020
Hedging market downturns without sacrificing upside has long been sought by investors. If VIX was directly investable, adding it as a hedge to the S&P 500 would result in significantly improved performance over the equity only portfolio. However, tradable VIX products do not provide the hedge or...
Persistent link: https://www.econbiz.de/10012844773
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Does Real Estate Fund in Thailand Provide Diversification Benefits for Stock Investment?
Tangjitprom, Nopphon - 2017
. Previous studies have shown the diversification benefits of real estate investment for stock portfolio. This paper aims to … examine whether the real estate funds can provide diversification benefits for stock investors. The data for stock return and … diversification benefit in term of hedge or safe haven for real estate fund in Thailand. However, the average beta of real estate fund …
Persistent link: https://www.econbiz.de/10012951216
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Is Household Diversification Increasing in Wealth? Norwegian Evidence
Ødegaard, Bernt Arne - 2017
We study the diversification properties of equity portfolios using data on all Norwegian households with equity … investments. While households typically have undiversified equity portfolios, diversification is increasing in wealth …
Persistent link: https://www.econbiz.de/10012959326
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Mean-Variance versus Naïve Diversification : The Role of Mispricing
Yan, Cheng - 2017
We compare the equal-weight naive 1/N portfolio with mean-variance strategies from the perspective of mispricing (alpha) and provide three new findings. First, we analytically show that the 1/N rule approaches the ex ante mean-variance efficient portfolio in the absence of mispricing. With...
Persistent link: https://www.econbiz.de/10012960434
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Diversification in Lottery-Like Features and Portfolio Pricing Discounts
Liu, Xin - 2019
Huang (2008) and show that a portfolio consisting of lottery-like stocks should trade at a discount due to diversification …
Persistent link: https://www.econbiz.de/10012901184