國立虎尾科技大學 |

Portfolio diversification /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Portfolio diversification // François-Serge Lhabitant.
Author:	Lhabitant, François-Serge,
Description:	1 online resource.
Notes:	Portfolio Size, Weights and Entropy-based Diversification Modern Portfolio Theory and Diversification Naive Portfolio Diversification Risk-budgeting and Risk-based Portfolios Factor Models and Portfolio Diversification Non-normal Return Distributions, Multi-period Models and Time Diversification Portfolio Diversification in Practice.
Subject:	Portfolio management. -
Online resource:	https://www.sciencedirect.com/science/book/9781785481918
ISBN:	9780081017869

Portfolio diversification /
Lhabitant, François-Serge,

Portfolio diversification /François-Serge Lhabitant. - 1 online resource. - Quantitative finance set. - Quantitative finance set..

Portfolio Size, Weights and Entropy-based Diversification Modern Portfolio Theory and Diversification Naive Portfolio Diversification Risk-budgeting and Risk-based Portfolios Factor Models and Portfolio Diversification Non-normal Return Distributions, Multi-period Models and Time Diversification Portfolio Diversification in Practice.

Includes bibliographical references and index.

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.

"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 diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated.Focuses on portfolio diversification across all its dimensionsIncludes recent empirical material that was created and developed specifically for this bookProvides several tools to quantify and implement optimal diversification."--Publisher description.

ISBN: 9780081017869Subjects--Topical Terms:

557690
Portfolio management.
Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: HG4529.5 / .L43 2017eb

Dewey Class. No.: 332.6

Portfolio diversification /
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245 1 0 $a Portfolio diversification / $c François-Serge Lhabitant.
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500 $a Portfolio Size, Weights and Entropy-based Diversification Modern Portfolio Theory and Diversification Naive Portfolio Diversification Risk-budgeting and Risk-based Portfolios Factor Models and Portfolio Diversification Non-normal Return Distributions, Multi-period Models and Time Diversification Portfolio Diversification in Practice.
504 $a Includes bibliographical references and index.
505 0 $a 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.
520 $a "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 diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated.Focuses on portfolio diversification across all its dimensionsIncludes recent empirical material that was created and developed specifically for this bookProvides several tools to quantify and implement optimal diversification."--Publisher description.
650 0 $a Portfolio management. $3 557690
650 0 $a Diversification in industry. $3 647495
655 4 $a Electronic books. $2 local $3 554714
830 0 $a Quantitative finance set. $3 1295046
856 4 0 $u https://www.sciencedirect.com/science/book/9781785481918