Why not 100% equities: A diversified portfolio provides more expected return per unit of risk

Journal of Portfolio Management

Volumn 22, Issue 2, 1996, Pages 29-34

  Asness, Clifford S ^a  

^a Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030524963     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.29     Document Type: Article

References (7)

1. Fama, E.F., and K. French. "Permanent and Temporary Components of Stock Prices." Journal of Political Economics, 96, No. 2 (1988), pp. 246-273.
2. Kritzman, Mark. "About Time Diversification." Financial Analysts Journal, January-February 1994, pp. 14-18.
3. Mehra, Rajnish, and Edward C. Prescott. "The Equity Premium: A Puzzle." Journal of Monetary Economics, 15 (1985), pp. 145-161.
4. Samuelson, Paul A. "At Last, A Rational Case for Long-Horizon Risk Tolerance and for Asset-Allocation Timing?" In Frank Fabozzi and Robert Arnott, eds., Active Asset Allocation. 1992, Ch. 19.
5. Sharpe, William F. "The Sharpe Ratio." Journal of Portfolio Management, Fall 1994, pp. 49-58.
6. Siegel, Jeremy J. Stocks for the Long Run. Burr Ridge, IL: Irwin Professional Publishing, 1994.
7. Thaler, Richard H., and J. Peter Williamson. "College and University Endowment Funds: Why Not 100% Equities?" Journal of Portfolio Management, Fall 1994, pp. 27-37.