Naive versus optimal diversification: tail risk and performance

DOI10.1016/j.ejor.2017.07.066zbMath1376.91148OpenAlexW2744311463MaRDI QIDQ1681368

Francis In, Simon Xu, Inchang Hwang

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.07.066

zbMATH Keywords

investment analysisportfolio optimizationmean-variance analysistail risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (5)

Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ Portfolio optimization with behavioural preferences and investor memory ⋮ Quantitative portfolio selection: using density forecasting to find consistent portfolios ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ Aggregating expert advice strategy for online portfolio selection with side information

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• The benefits of differential variance-based constraints in portfolio optimization
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• Coherent Measures of Risk
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Equity Portfolio Diversification*
• Portfolio diversification and value at risk under thick-tailedness†
• Inequalities: theory of majorization and its applications

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