Risk diversification and extreme risk mitigation
研究了主动型股票组合的风险分散和持仓分散如何影响业绩和极端损失风险，发现基于风险和行业的分散能显著降低尾部风险，且效果非线性递减。
We examine how active risk- and holdings-based diversification of equity portfolios affect performance and vulnerability to large losses. Conducting a comprehensive empirical study of US-based funds, we find that risk-based and sector-based diversification significantly reduce active tail risk and the likelihood of extreme losses, without substantially diminishing portfolio performance. These effects are nonlinear and decreasing, suggesting that investors need not minimizing the concentration of their portfolios. We also examine these relationships on an unprecedented large sample of portfolios using a novel methodology that allows the production of portfolios with similar levels of risk, and find that they are robust to several definitions of extreme risk. Our results highlight the practical value of diversification in managing portfolio risk while maintaining competitive performance.