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Volumn 23, Issue 1, 1996, Pages 65-80

Benefits and limitations of diversification among commodity trading advisors: How to diversify a managed futures program

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Indexed keywords


EID: 0030637603     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409581     Document Type: Article
Times cited : (46)

References (12)
  • 1
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    • Bird, Ron, and Mark Tippett. "Naive Diversification and Portfolio Risk: A Note." Management Science, 32 (1986), pp. 244-251.
    • (1986) Management Science , vol.32 , pp. 244-251
    • Bird, R.1    Tippett, M.2
  • 2
    • 0010878724 scopus 로고
    • Charlottesville, VA: The Research Foundation of the Institute of Chartered Financial Analysts
    • Chance, Don M. Managed Futures and Their Role in Investment Portfolios. Charlottesville, VA: The Research Foundation of the Institute of Chartered Financial Analysts, 1994.
    • (1994) Managed Futures and Their Role in Investment Portfolios
    • Chance, D.M.1
  • 3
    • 0010817856 scopus 로고
    • Risk reduction and portfolio size: An analytical solution
    • Elton, Edwin J., and Martin J. Gruber. "Risk Reduction and Portfolio Size: An Analytical Solution." Journal of Business, 50 (1977), pp. 415-437.
    • (1977) Journal of Business , vol.50 , pp. 415-437
    • Elton, E.J.1    Gruber, M.J.2
  • 4
    • 84980104625 scopus 로고
    • Diversification and the reduction of dispersion: An empirical analysis
    • Evans, John L., and Stephen H. Archer. "Diversification and the Reduction of Dispersion: An Empirical Analysis." Journal of Finance, 23 (1968), pp. 761-767.
    • (1968) Journal of Finance , vol.23 , pp. 761-767
    • Evans, J.L.1    Archer, S.H.2
  • 5
    • 0001399606 scopus 로고
    • A note on diversification and the reduction of dispersion
    • Johnson, Keith H., and D.S. Shannon. "A Note on Diversification and the Reduction of Dispersion." Journal of Financial Economics, 4 (1974), pp. 365-372.
    • (1974) Journal of Financial Economics , vol.4 , pp. 365-372
    • Johnson, K.H.1    Shannon, D.S.2
  • 6
    • 84986465484 scopus 로고
    • The effect of portfolio construction rules on the relationship between portfolio size and effective diversification
    • Lloyd, William P., John H. Hand, and Naval K. Modani. "The Effect of Portfolio Construction Rules on the Relationship Between Portfolio Size and Effective Diversification." Journal of Financial Research, 4 (1981), pp. 183-193.
    • (1981) Journal of Financial Research , vol.4 , pp. 183-193
    • Lloyd, W.P.1    Hand, J.H.2    Modani, N.K.3
  • 7
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, Harry. "Portfolio Selection." Journal of Finance, 7 (1952), pp. 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 8
    • 0010931950 scopus 로고
    • The minimum number of stocks needed for diversification
    • Newbould, Gerald D., and Percy S. Poon. "The Minimum Number of Stocks Needed for Diversification." Financial Practice and Education, 3 (1993), pp. 85-87.
    • (1993) Financial Practice and Education , vol.3 , pp. 85-87
    • Newbould, G.D.1    Poon, P.S.2
  • 11
    • 0002791781 scopus 로고
    • You can't diversify without diversifying
    • Tole, Thomas. "You Can't Diversify Without Diversifying." Journal of Portfolio Management, 8 (1982), pp. 5-11.
    • (1982) Journal of Portfolio Management , vol.8 , pp. 5-11
    • Tole, T.1
  • 12
    • 0002943314 scopus 로고
    • The effect of diversification on risk
    • Wagner, W.H., and S.C. Lau. "The Effect of Diversification on Risk." Financial Analysts Journal, 27 (1971), pp. 48-53.
    • (1971) Financial Analysts Journal , vol.27 , pp. 48-53
    • Wagner, W.H.1    Lau, S.C.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.