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 …

Diversified behavioral portfolio as an alternative to modern portfolio theory

YE Rodríguez, JM Gómez, J Contreras - The North American Journal of …, 2021 - Elsevier
The traditional mean–variance approach has been complemented by alternative theories
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 …

Diversification potential in real estate portfolios

B Candelon, F Fuerst, JB Hasse - International Economics, 2021 - Elsevier
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 …

[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 …

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 …

Unifying portfolio diversification measures using Rao's quadratic entropy

B Carmichael, GB Koumou, K Moran - Journal of Quantitative Economics, 2023 - Springer
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 …

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 …

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 …

Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff

J Contreras, YE Rodríguez, A Sosa - Energy Economics, 2017 - Elsevier
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 …