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 …

A function is exponentially concave if its exponential is concave. We consider exponentially
concave functions on the unit simplex. In a previous paper, we showed that gradient maps of …

Robo-advisers enable investors to establish an automated rebalancing strategy for a
portfolio usually consisting of stocks and bonds. Since households' portfolios additionally …

Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts
over multiple decades in various investment universes. This article investigates the long …

Advances in financial technology have led to the development of easy-to-use online
platforms known as robo-advisors or digital-advisors, offering automated investment and …

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 …

In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to
outperform a benchmark portfolio over a finite horizon. When the market is diverse and …

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 …

It is widely noted that market capitalisation weighted portfolios are inefficient and
underperform an equal weighted portfolio over the long-term. However, at least since 2016 …

The use of portfolio rebalancing as a profitable strategy (or 'volatility harvesting') is a hot
topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the …