We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model. We propose a set of eight desirable axioms for this class of diversification measures. We name the measures satisfying these axioms coherent correlation diversification...

Using a novel form of the weight zero or strictly negative lower and positive upper bound constraints mean-variance model in terms of the support vector data description --- a machine learning algorithm --- we bolster the theoretical foundation of weight bound constraints by offering a new...

This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory under the assumption that the investor has complete information about the joint distribution of asset returns. Four categories of portfolio diversification measures can be...

This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory under the assumption that the investor has complete information about the joint distribution of asset returns. Four categories of portfolio diversification measures can be...

In this paper, we re-examine investors' diversification attitude in the mean-variance model from the perspective of Markowitz (1952)'s principle of diversification. Our analysis is based on the diversification returns, the specific Markowitz (1952)'s principle of diversification measure in the...