An Empirical Investigation of Portfolios with Little Idiosyncratic Risk
Description:
The objective of this study is to answer the following research question: How large is a diversified portfolio? Although previous work is abundant, very little progress has been made in answering this question since the seminal work of Evans and Archer (1968). This study proposes two approaches to address the research question. The first approach is to measure the rate of risk reduction as diversification increases. For the first approach, I identify two kinds of risks: (1) risk that portfolio …
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Date:
May 2004
Creator:
Benjelloun, Hicham
Partner:
UNT Libraries