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A Diversification Measure for Portfolios of Risky Assets

In: Advances in Financial Risk Management

Author

Listed:
  • Gabriel Frahm
  • Christof Wiechers

Abstract

The benefits of diversification are well known and indeed diversification is frequently applied in real-life portfolio optimization. The first proof of portfolio diversification is given by Markowitz (1952). In his seminal paper, Markowitz provides a normative basis of portfolio choice which has led to modern portfolio theory. The mean-variance framework has become standard knowledge in finance theory.

Suggested Citation

  • Gabriel Frahm & Christof Wiechers, 2013. "A Diversification Measure for Portfolios of Risky Assets," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 13, pages 312-330, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-02509-8_13
    DOI: 10.1057/9781137025098_13
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    Citations

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    Cited by:

    1. Gilles Boevi Koumou & Georges Dionne, 2022. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Risks, MDPI, vol. 10(11), pages 1-19, October.
    2. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    3. Prateek Sharma & Vipul, 2018. "Improving portfolio diversification: Identifying the right baskets for putting your eggs," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 39(6), pages 698-711, September.
    4. P. Murialdo & L. Ponta & A. Carbone, 2021. "Inferring Multi-Period Optimal Portfolios via Detrending Moving Average Cluster Entropy," Papers 2104.09988, arXiv.org, revised Jul 2021.
    5. Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler, 2019. "Modeling and Forecasting Realized Portfolio Diversification Benefits," JRFM, MDPI, vol. 12(3), pages 1-16, July.
    6. Prateek SHARMA, 2017. "Economic value of portfolio diversification: Evidence from international multi-asset portfolios," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(613), W), pages 33-42, Winter.

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