Portfolio diversification /

"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, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversifi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lhabitant, Fran�cois-Serge (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam : Elsevier, 2017.
Colección:Quantitative finance set.
Temas:
Portfolio management.
Diversification in industry.
Gestion de portefeuille.
Diversification (�Economie politique)
diversification.
BUSINESS & ECONOMICS > Finance.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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 Diversification
  • 3.1. 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
  • 4.6. Revisiting portfolio construction with a risk-based view
  • 4.7. Conclusions on risk-based approaches
  • Chapter 5. Factor Models and Portfolio Diversification
  • 5.1. Factor models
  • 5.2. Principal component analysis (PCA)
  • 5.3. Conclusion on factor models
  • Chapter 6. Non-normal Return Distributions, Multiperiod Models and Time Diversification
  • 6.1. Non-normal returns
  • 6.2. Multi-period models and time diversification
  • Chapter 7. Portfolio Diversification in Practice
  • 7.1. Households and the empirical diversification puzzle
  • 7.2. Diversification versus concentration
  • 7.3. Interpreting correlations: history, facts and fallacies
  • Conclusion
  • Bibliography
  • Index.

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