The study investigated the moderating effect of bank size on the relationship between income diversification and asset diversification on bank stability in the context of commercial banks in Bangladesh. A total of 180 observations from 36 listed bank...
There has been growing interest among investors to include cryptocurrencies in their portfolios because of their diversification potential. However, the diversification role of cryptocurrencies when added to South African bank equities is yet to be d...
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutio...
This study utilizes a Cobb–Douglas production function and an instrumental variables regression approach to analyze the impact of quality certification and product diversification on asset productivity at the firm level. Analyzing a panel datas...
Portfolio optimization is a fundamental problem in financial theory, aiming to balance risk and return in asset allocation. Traditional models, such as Mean–Variance optimization, are effective, but often fail to account for diversification ade...
9 May 2025
This study examines the dynamic interconnectedness between digital and traditional assets, with an emphasis on fiat currencies (such as JPY/USD and CHF/USD), cryptocurrencies (such as Bitcoin), and digital assets backed by gold (such as Tether Gold a...
This study examines the dynamic relationship between changes in construction contract amounts across the diversified business areas within the portfolios of Korean construction firms and their overall business performance using a vector error correct...
Livelihood diversification is beneficial to mitigate economic and environmental risks and to improve livelihood sustainability and regional sustainable development. Unsettled herder households (UHH), settled herder households (SHH) and farmer househo...
This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean–variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-taile...
Using extensive and comprehensive databases to select a subset of research papers, we aim to critically analyze previous empirical studies to identify certain patterns in determining the optimal number of stocks in well-diversified portfolios in diff...
Carbon allowances traded in the EU-Emission Trading Scheme (EU-ETS) were initially designed as an economic motivation for efficiently curbing greenhouse as emissions, but now it mimics quite a few characteristics of financial assets, and have now bee...
This study examines the diversification and hedging potential of non-conventional assets like cryptocurrency (Bitcoin), FinTech equities (FINXs), and green bonds (QGREENs) against traditional equity benchmarks, namely the MSCI World and MSCI Emerging...
The purpose of investigating livelihood strategies is to seek patterns that can be acted upon in order to improve livelihood prospects. This paper assesses household livelihood strategies and their determinates by asking (1) how urban households mana...
This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of p...
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portf...
This survey aims to provide insightful and objective perspectives on the research history of quantitative portfolio management strategies with suggestions for the future of research. The relevant literature can be clustered into four broad themes: po...
This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data fro...
The growing prominence of generating a well-diversified portfolio by holding securities from multi-asset markets has, over the years, drawn criticism. Various financial market events have caused asset markets to co-move, especially in emerging market...
This paper analyzes the connectedness among bitcoin, gold, and crude oil between 3 January 2017 and 31 December 2019. The paper’s motivation is based upon the idea that bitcoin can be similar to gold in terms of its hedging properties and can b...
Diversification is a livelihood strategy that households use to survive and to absorb disturbances. Community-based ecotourism (CBE) is part of a set of sustainable options that are available to households for diversification. This paper analyses hou...
In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out...
Diversified livelihoods combining farming, livestock keeping and non-farm income are characteristic of many rural households worldwide. For the Central Asian and Caucasian region, livestock keeping is especially important in terms of land use and soc...
Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for buil...
The study aims to critically assess the safe-haven properties of Bitcoin and a diverse set of commodities in mitigating stock market risks during periods of extreme financial turbulence. Specifically, this research seeks to evaluate the effectiveness...
Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on the...
This article aims to investigate the impact of sustainable assets on dynamic portfolio optimization under varying levels of investor risk aversion, particularly during turbulent market conditions. The analysis compares the performance of two portfoli...
This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus...
Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out tha...
For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the port...
Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditiona...
The co-movement of multi-asset markets in emerging markets has become an important determinant for investors seeking diversified portfolios and enhanced portfolio returns. Despite this, studies have failed to examine the determinants of the co-moveme...
This study investigates the structure of the tail dependence between the United States (US) and Gulf Cooperation Council (GCC) banking sectors for the period February 2010 to July 2017. Conditional value at risk and conditional diversification benefi...
This study employs the ADCC-GARCH approach to investigate the dynamic correlation between bitcoin and 14 major financial assets in different time-frequency dimensions over the period 2013–2021, for which the risk diversification, hedging and sa...
The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the inverse of the covariance matrix of the asset return. In practice, these two quantities need to be replaced by their sample statistics....
While many individuals make investments to gain financial stability, most individual investors hold under-diversified portfolios that consist of only a few financial assets. Lack of diversification is alarming especially for average individuals becau...
This paper examines the interconnection and wavelet coherence between the green cryptocurrency market and the green conventional market, utilizing daily data. The research period covers 1 July 2020 to 30 September 2024. Employing the time-varying par...
21 August 2018
Rural livelihood change has great influence on the scale, structure, and morphology of rural settlement land use, thus bringing new challenges to rural revitalization and settlement reconstruction. Sihe village of Tongwei County in mid-Gansu loess hi...
The traditional role of banks as intermediaries has been transferred to a vast array of businesses, creating many sources of income. The present study examines the impact of income diversification on bank risk. A total of 565 commercial banks from 50...
The inconsistency of arguments regarding the value of diversification strategies means that there is a lack of a unified methodological approach and a method for evaluating the impact on efficiency and competitive ability of companies. Research shows...
The optimal allocation of funds within a portfolio is a central research focus in finance. Conventional mean-variance models often concentrate a significant portion of funds in a limited number of high-risk assets. To promote diversification, Shannon...
University endowments with broad portfolio diversification have been correlated with performance, but committees’ decision-making process has received relatively little attention. This study is unique in postulating that the committee’s l...
This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framewor...
Livelihood diversification for traditional villages is essential to reducing poverty, addressing rural hollowing, and achieving the Sustainable Development Goals (SDGs). Shanxi Province—with its wealth of ancient villages, diverse cultural heri...
In this paper we investigate the economic response of rural households to the 2013 floods in Pakistan. The case study illustrates the important roles of labor supply adjustments and income diversification in coping with climate-related risks. Using d...
The optimization of investment portfolios represents a pivotal task within the field of financial economics. Its objective is to identify asset combinations that meet specified criteria for return and risk. Traditionally, the maximization of the Shar...
Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show t...
This research investigates the spillover effects between assets of the Fourth Industrial Revolution (4IR), focusing on the role of climate policy uncertainty in shaping these interactions. Using a time-varying parameter vector autoregressive (TVP-VAR...
This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distrib...
Market equilibrium is characterized by a state wherein aggregate demand equals aggregate supply for all assets, a condition arising from consumers maximizing utility within budget constraints and producers maximizing profits. This paper investigates...
Crop diversification finds an important place in the strategy of dealing with risk and uncertainty related to climate change. It helps to increase the resilience of farmers, significantly improving their income stability, but at the same time, it can...
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