In the Netherlands, listed companies and their pension funds have to apply the principle of fair value accounting with respect to valuation of pension liabilities for their financial statements. Both entities have to implement fair value accounting somewhat differently, as companies have to...

We investigate the construction of well-diversified high-conviction equity portfolios using the Portfolio Diversification Index (PDI). This paper is the first to investigate the out-of-sample properties of the PDI. Our research applies a novel portfolio selection algorithm to maximize the PDI of...