Portfolio Diversification

by Lhabitant, François-Serge

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Title Statements

Full title :Portfolio Diversification / Francois-Serge Lhabitant.

Edition Statements

Publication Date:2017.

Publication Statements

Publisher(s):Elsevier Science
Place of Publication:San Diego, CA, USA
Language:eng
Publication Date:2017.

The Physical Object

Description:1 ressource en ligne (276 pages)

Edition Identifiers

ISBN:9781785481918, 1785481916
oclc:on1015992073
LC Classification:HG4529.5
Dewey Decimal:332.6

Front Cover; Portfolio Diversification; Copyright ; Contents; Introduction; Chapter 1. Portfolio Size, Weights and Entropy-based Diversification ; 1.1. Mathematical notations; 1.2. Portfolio concentration and diversity measures; 1.3. Entropy; 1.4. Conclusions on pure weights and entropy-based diversification; Chapter 2. Modern Portfolio Theory and Diversification; 2.1. The mathematics of return and risk; 2.2. Modern Portfolio Theory (MPT); 2.3. Empirical applications; 2.4. Using MPT in practice: key issues; 2.5. Increasing the diversification of Markowitz portfolios; 2.6. Conclusions on MPT.

Chapter 3. Naive Portfolio Diversification3.1. A (very) simplified model; 3.2. The law of average covariance; 3.3. The relative benefits naive portfolio diversifications; 3.4. Empirical tests; 3.5. Economic limits and statistical tests; 3.6. Naive versus Markowitz diversification; 3.7. Conclusions on naive diversification; Chapter 4. Risk-budgeting and Risk-based Portfolios; 4.1. Risk measures and their properties; 4.2. The toolkit for portfolio risk attribution; 4.3. Risk allocation and risk parity approaches; 4.4. The maximum diversification approach; 4.5. The minimum variance approach.

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Subjects

diversification Diversification (Économie politique) Diversification in industry e-books Gestion de portefeuille Livres numériques Portfolio management Ressources Internet