Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Many regions of the planet are exposed to seismic hazards that can cause devastating
consequences on power systems. Due to these systems' crucial role, the evaluation and …

This paper uses Rao's Quadratic Entropy (RQE), a general measure of diversity of
population, to analyze portfolio diversification. We provide both theoretical and empirical …

Uniform budgeting in risk budgeting (RB), which results in risk parity (RP), can be sub-
optimal in the case where assets are correlated. In particular, it may lead to solutions with …

Sophisticated institutional investors have a growing interest in factor investing, a disciplined
approach to portfolio management that is broadly meant to allow investors to harvest risk …

Multi-asset investment solutions have become increasingly popular among sophisticated
institutional investors focusing on efficient harvesting of risk premia across and within asset …

Absolute return strategies attempt to generate positive returns that are uncorrelated with
equity or bond markets and can be used to increase diversification and performance within …

We provide an axiomatic foundation for the measurement of correlation diversification in a
one-period portfolio model. We propose a set of eight desirable axioms for this class of …

Recent periods of market turbulence and stress have created considerable interest in
credible alternatives to traditional asset allocation methodologies. It would be preferred if …

In investment processes, it is almost impossible to allocate wealth directly at a single-
security level in the huge investable universe. Consequently, investors divide the whole …