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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&apos; 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&apos; attitude towards diversification when the choices available to investors depend on several parameters.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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