Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connecting countries to the products that they export.We characterize this network using four structural features: the negative r…
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48 results for “output diversification”
ODS improves adversarial attacks by maximizing output diversity.
problem Efficiency and effectiveness of adversarial attacks, especially black-box attacks.
method Output Diversified Sampling (ODS) that maximizes diversity in model outputs.
result ODS reduces the number of queries needed for black-box attacks on ImageNet by a factor of two.
Unified framework for portfolio optimization using multiple hypotheses.
problem Risk diversification in portfolio allocation.
method Structured ensemble learning approach with diversity control.
result Structured ensembles link predictor diversity to risk diversification.
Investigates how diversification preferences relate to risk attitudes.
problem Connecting diversification preferences to risk attitudes.
method Analyzes diversification preferences for various pairs of risks under different conditions.
result Diversification preferences for certain pairs of risks imply specific levels of risk aversion.
Study examines diversification of mid-mountain ski tourism.
problem Understanding transformations in ski mid-mountain territories.
method Applied regional diversification theory to French ski areas.
result Identified three steps in tourism diversification paths.
Diversification increases systemic risk, contrary to belief.
problem Systemic risk due to diversification at banks.
method Examined diversification's impact on joint default probability and systemic risk using VaR.
result Diversification reduces individual and systemic risk, contrary to common belief.
The paper proposes a new approach to portfolio selection that maximizes diversification and return.
problem Maximizing diversification and return in portfolio selection.
method A bi-objective model that maximizes a diversification measure and portfolio expected return.
result The return-diversification approach outperforms strategies based on diversification or classical risk-return approaches.
A new diversification measure DQ derived from risk measures addresses limitations of existing indices.
problem Limitations of existing diversification indices in capturing tail heaviness and common shocks.
method DQs are defined based on a parametric family of risk measures, satisfying six axioms of diversification.
result DQs can properly capture tail heaviness and common shocks, improving portfolio selection.
Paper introduces lexical ratio to measure portfolio diversification.
problem Traditional diversification metrics overlook non-numerical relationships.
method Uses textual data to capture diversification dimensions through entropy-based insights.
result Lexical ratio (LR) outperforms traditional metrics in optimizing portfolio returns.
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alternatives independent of their individual characteristics. This article provides mathematically and economically sound choice theoretic founda…
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constrains including expected returns. We propose a portfolio construction method that incorporates the complex valued principal component anal…
One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which combines generalised autoregressive score copula functions with high frequency dat…
Diversification improves profits for heavy-tailed investments.
problem Investment portfolios of Pareto-distributed returns.
method Stochastic dominance and majorization order.
result Diversification increases first-order stochastic dominance for heavy-tailed returns.
Investigates diversification quotient based on VaR and ES for portfolio models.
problem Quantifying diversification of portfolios using VaR and ES.
method Introduced and analyzed DQ based on VaR and ES for elliptical and MRV distributions.
result Explicit formulas and portfolio optimization problems for VaR and ES DQ are derived.
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenster…
The paper explores tail diversification in financial markets using entropy and mutual information.
problem Tail diversification in financial time series.
method Statistical independence through differential entropy and mutual information, using moments as contrast functions.
result Tail covariance matrix is a key driver of tail diversification.
This paper improves the Diversification Quotient (DQ) for better risk management.
problem Improving portfolio diversification measurement.
method Empirical estimation of DQ using VaR and ES, with asymptotic properties verified.
result Empirical DQ estimators are more robust and have better asymptotic properties.
Financial instability transition under heterogeneous investments and portfolio diversificationq-fin.RM
Investment diversification affects financial stability, depending on network connectivity.
problem Analyzing stability of financial networks with diversified portfolios.
method Random matrix dynamical model with portfolio rebalancing, considering heterogeneity and diversification effects.
result Stability/instability transition depends on the largest eigenvalue of the random matrix.
We present four methods of assessing the diversification potential within a stock market, two of these are based on principal component analysis. They were applied to the Australian stock exchange for the years 2000 to 2014 and all show a consistent picture. The potential for diversification declined almost monotonical…
We study the relationship between firms' performance and their technological portfolios using tools borrowed from the complexity science. In particular, we ask whether the accumulation of knowledge and capabilities related to a coherent set of technologies leads firms to experience advantages in terms of productive eff…
Defines diversification as a binary relationship between financial portfolios.
problem Defines diversification in a new binary relationship for financial portfolios.
method Proposes a new definition of diversification based on convex linear combinations and second order stochastic dominance.
result The proposed definition coincides with second order stochastic dominance.
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that connects diversification to the non-Gaussianity of portfolio returns and can typ…
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional time-varying joint distribution of …
Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to se…
Risk Without Returnq-fin.ST
Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently dictinct risk-based …
A new portfolio method using quantum mechanics improves risk diversification.
problem Improving risk-based portfolio construction methods for multi-asset portfolios.
method Schrödinger principal component analysis applied to extract common factors from asset fluctuations.
result The proposed method outperforms conventional risk parity and other risk diversification methods.
Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link between the number of ris…
The study revisits portfolio diversification by relaxing assumptions for skewed, multi-regime, and leptokurtic asset returns.
problem Underestimation of risk in portfolio diversification due to assumptions that are inconsistent with real-world asset returns.
method Calibrated a Markov-modulated Levy process model to equity market data to demonstrate the merits of the approach.
result The calibrated models effectively match empirical moments and show the importance of relaxing assumptions in portfolio diversification.
Study on diversifying equity portfolios during financial crises and stability.
problem Determining the effectiveness of diversification strategies during financial crises and stability.
method Analysis of 20 years of US stock price data, including GFC and COVID-19 crashes, using eigenvalues, graph-theoretic diagnostics, and hierarchical clustering.
result During financial crises, diversification via sector-based portfolios is ineffective, while during stability, 30-40 stocks provide sufficient diversification.
Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategiesq-fin.PM
Investing in cryptocurrencies can improve portfolio risk-return profile, especially with diversification strategies.
problem Investing in cryptocurrencies and evaluating their potential for portfolio allocation strategies.
method Investigated different types of investors, various portfolio construction rules, and incorporated liquidity constraints.
result Cryptocurrencies can improve the risk-return profile of portfolios, especially with diversification strategies.
Optimizes portfolios with utility theory, diversification, and leverage.
problem Finding optimal portfolio allocation strategies.
method Utility theory, exponential and logarithmic utilities, compound probability distributions, maximum expected utility, generalized mean-variance.
result Enhanced portfolio allocation strategies with natural explanations.
New methods show sparse portfolios offer no advantage over mean-variance in diversification.
problem Investment diversification and risk management with sparse portfolios.
method Developed and implemented a new estimation procedure for sparse second-order stochastic spanning using a greedy algorithm and Linear Programming.
result No benefit from expanding a sparse opportunity set beyond 45 assets; optimal sparse portfolio reduces tail risk.
We consider the problem of risk diversification of -stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to diversification. We confirm the large evidence of sub-additivity violations, particul…
Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The…
New study shows diversification can increase risk for heavy-tailed losses.
problem Diversification can increase tail risk for heavy-tailed losses.
method Comparison of diversified portfolio to a 'one-basket' benchmark.
result Diversified portfolio has larger tail probabilities than a 'one-basket' benchmark for all thresholds.
Cryptocurrencies have heavy-tailed return distributions, requiring diversification.
problem Cryptocurrency returns do not follow Gaussian distributions.
method Applied econophysics and entropy measures to analyze returns.
result Portfolio diversification reduces return uncertainty.
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the combined portfolio of assets and introduce a measure based on the information en…
The vulnerability of machine learning systems to adversarial attacks questions their usage in many applications. In this paper, we propose a randomized diversification as a defense strategy. We introduce a multi-channel architecture in a gray-box scenario, which assumes that the architecture of the classifier and the t…
Optimizes diversification in catastrophe risk pooling using asymptotic analysis.
problem Maximizing diversification benefit from catastrophic events in insurance pools.
method Asymptotic analysis to solve high-dimensional optimization problem.
result Derives an asymptotically optimal pool that approximates practical optimal pool.
This study uses Tsallis entropy to analyze diversification and integration in Italian stock market companies.
problem Examining the industrial structure and market reactions of cross-shareholding networks.
method Developed Tsallis entropy approach to model diversification and integration using copulas.
result Entropy analysis reveals insights into market polarisation and fairness.
New DQ based on expectiles improves portfolio diversification.
problem Improving diversification in financial portfolios.
method Diversification quotient based on expectiles, offering simple formulas and pseudo-convexity.
result The expectile-based DQ is efficient and effective in portfolio optimization.
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the biparti…
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging task. In the present pap…
Optimizes portfolios by identifying causal drivers of diversification.
problem Achieving efficient portfolio optimization based on asset and diversification dynamics.
method Commonality Principle, Reichenbach Common Cause Principle, conformal maps, Bayesian networks, correlation-based algorithms, neural networks, SDEs.
result Optimal portfolio diversification achieved through causal methodologies and sensitivity forecasting.
We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing the ownership-structure/diversification relationship. It consists o…
Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample o…
In the past decade many researchers have proposed new optimal portfolio selection strategies to show that sophisticated diversification can outperform the naïve 1/N strategy in out-of-sample benchmarks. Providing an updated review of these models since DeMiguel et al. (2009b), I test sixteen strategies across six empir…
We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a liquidity motive (maturity or currency mismatch). We model endogenous interconnection…