How efficient is naive portfolio diversification? An educational note

Omega

Volumn 32, Issue 2, 2004, Pages 155-160

  Tang, Gordon Y N ^a,b  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

Author keywords

Diversifiable risks; Efficiency; Naive diversification; Portfolio

Indexed keywords

EARNINGS; FINANCIAL MARKETS;

COMMON KNOWLEDGE; DIVERSIFIABLE RISK; FINANCIAL MANAGEMENTS; INVESTMENT RISKS; NAIVE DIVERSIFICATION; PORTFOLIO; PORTFOLIO DIVERSIFICATION; RATE OF RETURN; STANDARD TEXTBOOK; SYSTEMATIC RISK;

INVESTMENTS;

EID: 0346937259     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.omega.2003.10.002     Document Type: Article

References (26)

1. Amling F. Investments: an introduction to analysis & management 6th ed. 1989 Prentice-Hall, Inc Englewood Cliffs, NJ
2. Bodie Z. Kane A. Marcus A.J. Investments 4th ed. 1999 McGraw-Hill Companies, Inc New York
3. Fabozzi F.J. Investment management 1995 Prentice-Hall, Inc Englewood Cliffs, NJ
4. Francis J.C. Investments: analysis and management 5th ed. 1991 McGraw-Hill, Inc New York
5. Gitman L.J. Joehnk M.D. Fundamentals of investing 6th ed. 1996 Harper Collins College Publishers New York
6. Jones C.P. Investments: analysis and management 5th ed. 1996 Wiley Singapore
7. Lee C.F. Finnerty J.E. Wort D.H. Security analysis and portfolio management 1990 Scott, Foresman Company London, England
8. Levy H. Introduction to investments 1996 South-Western College Publishing Cincinnati, OH
9. Mayo H.B. Investment: an introduction 4th ed. 1993 Harcourt Brace College Publishers Orlando
10. Sharpe W.F. Alexander G.J. Bailey J.V. Investments 5th ed. 1995 Prentice-Hall, Inc Englewood Cliffs, NJ
11. Arnold G. Corporate financial management 1998 Pitman Publishing Great Britain
12. Brealey R.A. Myers S.C. Principles of corporate finance 5th ed. 1996 The McGraw-Hill Companies, Inc New York
13. Emery G.W. Corporate finance: principles and practice 1998 Addison-Wesley Longman, Inc New York
14. Emery D.R. Finnerty J.D. Corporate financial management 1997 Prentice-Hall Upper Saddle River, NJ
15. Gitman L.J. Principles of managerial finance 9th ed. 2000 Addison-Wesley Longman, Inc Reading, MA
16. Lee C.F. Finnerty J.E. Norton E.A. Foundations of financial management 1997 West Publishing Company Minneapolis, St. Paul
17. Moyer R.C. McGuigan J.R. Kretlow W.J. Contemporary finance management 1998 South-Western College Publishing Cincinnati, OH
18. Pinches G.E. Essentials of financial management 5th ed. 1996 Harper Collins College Publishers New York, NY
19. Rao R.K.S. Financial management: concepts and applications 3rd ed. 1995 South-Western College Publishing Cincinnati, OH
20. Ross S.A. Westerfield R.W. Jordan B.D. Fundamentals of corporate finance 5th ed. 2000 Irwin/McGraw-Hill Boston, MA
21. Evans J.L. Archer S.H. Diversification and the reduction of dispersion: an empirical analysis Journal of Finance 23 5 1968 761-767
22. Elton E.J. Gruber M.J. Risk reduction and portfolio size: an analytic solution Journal of Business 50 1977 415-437
23. Wagner W.H. Lau S.C. The effect of diversification on risk Financial Analysts Journal 27 6 1971 48-53
24. Statman M. How many stocks make a diversified portfolio? Journal of Financial and Quantitative Analysis 22 3 1987 353-363
25. Tang G.Y.N. Choi D.F.S. Impact of diversification on the distribution of stock returns: international evidence Journal of Economics and Finance 22 2-3 1998 119-127
26. Newbould G.D. Poon P.S. The minimum number of stocks needed for diversification Financial Practice and Education 3 2 1993 85-87