Risk minimization and portfolio diversification

Doubly Regularized Portfolio with Risk Minimization

Due to recent empirical success, machine learning algorithms have drawn sufficient attention and are becoming important analysis tools in financial industry. In particular, as the core engine of many financial services such as private wealth and pension fund management, portfolio management calls for the application of those novel algorithms. Most of portfolio allocation strategies do not accou...

Econometrics and Metaheuristic Optimization Approaches to International Portfolio Diversification

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

Illiquidity, Portfolio Constraints, and Diversification *

Loan Portfolio Diversification, Market Structure and Financial Stability of Banks

 The purpose of this study is to investigate the effect of bank loan portfolio diversification and market structure on the financial stability of banks in the countrychr('39')s capital market. In order to achieve the above goal, the financial data of 17 banks have been used as unbalanced panels in the period from 2005 to 2018. In this study, data analysis was performed using fixed effects model...

Portfolio Diversification in Europe

Have the euro and accompanying measures of financial integration had a discernable impact on the deree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European investors are indeed better diversified, their consumption should be increasingly correlated. Second w...