diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …

This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored … focus. Our results suggest that diversification within, but not across industries, associates with higher buyout fund … performance. We do not find a significant relationship between geographical diversification and performance. These results partly …

One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic … increases with diversification, we extend his analysis to show that if one allows for short positions; then the probability of …

In the aftermath of the COVID-19 pandemic, non-core investments are gaining traction amongst institutional investors …, (2) competitive risk-adjusted performance, and (3) significant portfolio diversification potential in a mixed …

examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …

crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock …-Country portfolio frontier. During the crisis there is a disjunction between bank lending and stock markets revealed by negative average …

For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high … diversification measure and realized portfolio weight. The performance of our approach is evaluated in-sample and out-of-sample. We …