Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26
huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … turnover, and the degree of diversification. DR outperforms other strategies. In particular, DR shows the highest return and …