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geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in …The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of …
Persistent link: https://www.econbiz.de/10013102156
Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …
Persistent link: https://www.econbiz.de/10013215636
, review related metrics in the literature for measuring diversification …
Persistent link: https://www.econbiz.de/10012853193
We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing … methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based … import. To resolve this we propose that the purpose of diversification is most helpfully viewed as reducing the variance of …
Persistent link: https://www.econbiz.de/10012828842
where diversification is undesirable. When the portfolio’s main growth engine performs well, investors prefer the opposite … of diversification. An ideal complement to the growth engine would provide diversification when it performs poorly and … diversification. In other words, diversification often disappears when it is most needed. In this article we highlight a fundamental …
Persistent link: https://www.econbiz.de/10014089425
In this paper we extend the timeseries momentum (or trendfollowing) model towards a generalized momentum model, called Flexible Asset Allocation (FAA). This is done by adding new momentum factors to the traditional momentum factor R based on the relative returns among assets. These new factors...
Persistent link: https://www.econbiz.de/10013036125
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This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...
Persistent link: https://www.econbiz.de/10012905553