huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …

it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect …