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 …

Diversification return is the amount by which the geometric mean return (ie, average
compounded return) of a portfolio exceeds the weighted average of the geometric means of …

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 …

Diversification return has been well studied in finance literature, mainly focusing on the
various sources from which it may be generated. The maximization of diversification return …

There is now a substantial literature on the effects of rebalancing on portfolio performance.
However, this literature contains frequent misattribution between 'rebalancing returns', which …

There is now a substantial literature on the effects of rebalancing on portfolio performance. It
is widely argued in the theoretical literature that rebalanced strategies are inherently likely to …

The potential source of additional performance because of the simple act of resetting
portfolio weights back to the original weights is referred as the rebalancing premium. It is …

Rebalancing is an important tool for managing risk in a portfolio. It can also be a source of
return--the act of maintaining constant weights generates a buy-low, sell-high trading pattern …

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 …

This article sketches an ethics of (financial) speculation in futures markets.(1) It identifies an
intentionalistic fallacy prevalent in moral criticisms of speculation in general and of financial …