Diversification versus optimality: is there really a diversification puzzle?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10239214" target="_blank" >RIV/61989100:27510/18:10239214 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/00036846.2018.1459037" target="_blank" >http://dx.doi.org/10.1080/00036846.2018.1459037</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/00036846.2018.1459037" target="_blank" >10.1080/00036846.2018.1459037</a>
Alternative languages
Result language
angličtina
Original language name
Diversification versus optimality: is there really a diversification puzzle?
Original language description
In this paper, we provide a general valuation of the diversification attitude of investors. First, we empirically examine the diversification of mean-variance optimal choices in the US stock market during the 11-year period 2003-2013. We then analyze the diversification problem from the perspective of risk-averse investors and risk-seeking investors. Second, we prove that investors' optimal choices will be similar if their utility functions are not too distant, independent of their tolerance (or aversion) to risk. Finally, we discuss investors' attitude towards diversification when the choices available to investors depend on several parameters.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Applied Economics
ISSN
0003-6846
e-ISSN
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Volume of the periodical
50
Issue of the periodical within the volume
43
Country of publishing house
US - UNITED STATES
Number of pages
23
Pages from-to
4671-4693
UT code for WoS article
000439710000006
EID of the result in the Scopus database
2-s2.0-85045855902