Baitinger, Eduard; Kutsarov, Iliya; Maier, Thomas; … - In: Credit and Capital Markets – Kredit und Kapital 48 (2015) 1, pp. 89-119
In this paper we study a higher moment diversification measure, the so-called diversification delta (Vermorken et al. (2012)), in a dynamic portfolio optimization context. Particularly, we set up an investment strategy that dynamically maximizes the diversification delta for a given set of...
