Un-diversifying during crises: is it a good idea?

DOI10.1007/s10287-018-0340-yOpenAlexW3122605114WikidataQ128698887 ScholiaQ128698887MaRDI QIDQ2320465

Sandra Paterlini, Margherita Giuzio

Publication date: 23 August 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://www.clevelandfed.org/newsroom-and-events/publications/working-papers/2016-working-papers/wp-1628-is-it-a-good-idea-to-undiversify-during-crises.aspx

zbMATH Keywords

minimum varianceregularization methodsdiversificationsparsity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Operations research and management science (90Bxx)

Related Items (6)

Sparse index clones via the sorted ℓ₁-Norm ⋮ Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization ⋮ Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls

Uses Software

• PMTK

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