Portfolio Diversification

ISBN-13: 9781785481918 / Angielski / Twarda / 2017 / 274 str.

Francois-Serge Lhabitant

Opis

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 dimensions
• Includes recent empirical material that was created and developed specifically for this book
• Provides several tools to quantify and implement optimal diversification

Spis treści

1. Portfolio Size, Weights and Entropy-based Diversification 2. Modern Portfolio Theory and Diversification 3. Naive Portfolio Diversification 4. Risk-budgeting and Risk-based Portfolios 5. Factor Models and Portfolio Diversification 6. Non-normal Return Distributions, Multi-period Models and Time Diversification 7. Portfolio Diversification in Practice

O autorze

François-Serge Lhabitant is the C.E.O. and C.I.O of Kedge Capital, a Professor of Finance at the EDHEC Business School, and a visiting Professor of Finance at the Hong Kong University of Science and Technology.