Investor preferences and portfolio selection: Is diversification an appropriate strategy?

C. James Hueng, Ruey Yau

研究成果: 雜誌貢獻回顧評介論文同行評審

10 引文 斯高帕斯(Scopus)

摘要

This paper analyzes the relationship between diversification and several distributional characteristics that have risk implications for stock returns. We develop a flexible three-parameter distribution to model the stock returns. Using data on the current 30 DJIA stocks, we show that an investor's strategy on diversification depends on the measures of risk for particular concerns. For example, investors who desire to increase positive skewness would hold a less diversified portfolio, while those who care more about extreme losses would hold a more diversified portfolio. Experimenting with a more general pool of stocks yields the same conclusions.

原文???core.languages.en_GB???
頁(從 - 到)255-271
頁數17
期刊Quantitative Finance
6
發行號3
DOIs
出版狀態已出版 - 6月 2006

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