Diversification and portfolio theory: a review
GB Koumou - Financial Markets and Portfolio Management, 2020 - Springer
Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …
Diversified behavioral portfolio as an alternative to modern portfolio theory
The traditional mean–variance approach has been complemented by alternative theories
that use risk measures different from standard deviation of returns or involve additional …
that use risk measures different from standard deviation of returns or involve additional …
[BOOK][B] Portfolio diversification
FS Lhabitant - 2017 - books.google.com
Portfolio Diversification provides an update on the practice of combining several risky
investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book …
investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book …
Diversification potential in real estate portfolios
In this paper, we study the international and sectoral diversification potential in real estate
portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD …
portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD …
[HTML][HTML] Portfolio optimization using minimum spanning tree model in the moroccan stock exchange market
Y Berouaga, C El Msiyah, J Madkour - International Journal of Financial …, 2023 - mdpi.com
Portfolio optimization is a pertinent topic of significant importance in the financial literature.
During the portfolio construction, an investor confronts two important steps: portfolio …
During the portfolio construction, an investor confronts two important steps: portfolio …
Minimum Rényi entropy portfolios
N Lassance, F Vrins - Annals of Operations Research, 2021 - Springer
Accounting for the non-normality of asset returns remains one of the main challenges in
portfolio optimization. In this paper, we tackle this problem by assessing the risk of the …
portfolio optimization. In this paper, we tackle this problem by assessing the risk of the …
Unifying portfolio diversification measures using Rao's quadratic entropy
This paper uses Rao's Quadratic Entropy (RQE), a general measure of diversity of
population, to analyze portfolio diversification. We provide both theoretical and empirical …
population, to analyze portfolio diversification. We provide both theoretical and empirical …
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
S Kshatriya, PK Prasanna - Journal of Risk, 2018 - papers.ssrn.com
Markowitz's mean–variance portfolio model is widely used in the field of investment
management. The changing dynamics of markets have resulted in higher uncertainties …
management. The changing dynamics of markets have resulted in higher uncertainties …
Portfolio selection: A target-distribution approach
N Lassance, F Vrins - European Journal of Operational Research, 2023 - Elsevier
We introduce a novel framework for the portfolio selection problem in which investors aim to
target a return distribution, and the optimal portfolio has a return distribution as close as …
target a return distribution, and the optimal portfolio has a return distribution as close as …
Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff
We present a methodology based on the tradeoff between risk and diversification in order to
evaluate a purchase portfolio of energy, where the assets refer to purchasing strategies of a …
evaluate a purchase portfolio of energy, where the assets refer to purchasing strategies of a …