Improving portfolio diversification: Identifying the right baskets for putting your eggs
Sign Up to like & getrecommendations! Published in 2018 at "Managerial and Decision Economics"
DOI: 10.1002/mde.2939
Abstract: We measure the economic value of diversification for international multiasset investment strategies. This study implements five existing diversification measures and proposes a novel measure of diversification, the unsystematic risk ratio (URR). Only the URR and… read more here.
Keywords: diversification identifying; identifying right; diversification; improving portfolio ... See more keywords
Portfolio diversification in the sovereign credit swap markets
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-017-2565-5
Abstract: We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to… read more here.
Keywords: portfolio; diversification; sovereign credit; portfolio diversification ... See more keywords
Portfolio diversification across cryptocurrencies
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DOI: 10.1016/j.frl.2018.07.010
Abstract: Abstract Utilizing the empirical data of ten major cryptocurrencies, this article examines the investablitiy and role of diversification in cryptocurrency market, and evaluates the out-of-sample performance of commonly used asset allocation models across cryptocurrencies. We… read more here.
Keywords: finance; across cryptocurrencies; portfolio diversification; diversification across ... See more keywords
The influence of Bitcoin on portfolio diversification and design
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DOI: 10.1016/j.frl.2019.101344
Abstract: Abstract We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index,… read more here.
Keywords: portfolio; industry; bitcoin; portfolio diversification ... See more keywords
Portfolio Diversification Benefits at Different Investment Horizons During the Arab Uprisings: Turkish Perspectives Based on MGARCH–DCC and Wavelet Approaches
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DOI: 10.1080/1540496x.2017.1362555
Abstract: ABSTRACT This study is an initial attempt at investigating the extent to which portfolio diversification benefits at different investment horizons are available to a Turkish investor from investment in MENA countries exposed to the Arab… read more here.
Keywords: investment; diversification benefits; portfolio diversification; investment horizons ... See more keywords
A Risk-Return Analysis of Loan Portfolio Diversification in the Vietnamese Banking System
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asian Finance, Economics and Business"
DOI: 10.13106/jafeb.2020.vol7.no9.105
Abstract: The study empirically examines the effects of loan portfolio diversification on bank risk and return in the nascent banking market of Vietnam. Loan portfolio diversification is captured through the Hirschman-Herfindahl index and the Shannon Entropy… read more here.
Keywords: loan portfolio; diversification; loan; portfolio diversification ... See more keywords