Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86759
Authors: 
Hyung, Namwon
de Vries, Casper G.
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-082/2
Abstract: 
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes are smaller than traditional correlation based diversificationanalysis suggests.
Subjects: 
Portfolio diversification
downside risk
heavy tails
JEL: 
G0
G1
C2
Document Type: 
Working Paper

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