Portfolio Diversification
- 1st Edition - September 1, 2017
- Latest edition
- Author: Francois-Serge Lhabitant
- Language: English
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 b… Read more
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
MBA and PhD students in Finance, Portfolio Managers, Wealth Planners, Insitutional Investors, Quants willing to familiarize themselves with finance, CFA holders
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
- Edition: 1
- Latest edition
- Published: September 1, 2017
- Language: English
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Francois-Serge Lhabitant
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.
Affiliations and expertise
EDHEC Business School, FranceRead Portfolio Diversification on ScienceDirect