-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …

multiple strategies offers sizable diversification benefits. Our rule leverages these benefits and compares favorably to eleven …

diversification effects. Using data from the main US exchanges, there is strong evidence of over- and under-estimation of factor risk … premia relevant to their intrinsic values. We propose an amended multifactor asset pricing model, the diversification risk … formed on size and liquidity suffer from diversification asymmetries. Specifically, the size effect dies out when the …

moments and the performance of optimal versus naive diversification. These relations not only imply strong performance …

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … sensitivity to the factor is stronger among stocks where individual investor concentration and arbitrage costs are higher …