Diversification versus optimality: is there really a diversification puzzle?

被引：13

作者：

Lozza, Sergio Ortobelli ^{[1
,2
]}

Wong, Wing-Keung ^{[3
,4
]}

Fabozzi, Frank J. ^{[5
]}

Egozcue, Martin ^{[6
]}

机构：

[1] Univ Bergamo, Dept SAEMQ, Bergamo, Italy

[2] VSB Tech Univ Ostrava, Fac Econ, Dept Finance, Ostrava, Czech Republic

[3] Asia Univ, Coll Management, Dept Finance, Taichung, Taiwan

[4] Hang Seng Management Coll, Sch Business, Dept Econ & Finance, Lee Quo Wei Acad Bldg, Shatin, Hong Kong, Peoples R China

[5] EDHEC Business Sch North Amer, Finance Grp, New Hope, PA USA

[6] Univ Montevideo, Dept Econ, Montevideo, Uruguay

来源：

APPLIED ECONOMICS | 2018年 / 50卷 / 43期

关键词：

Diversification puzzle; stochastic dominance; risk-seeking investors; risk-averse investors; utility functions; compensatory risk premium; PROSPECT-THEORY; PORTFOLIO DIVERSIFICATION; STOCHASTIC-DOMINANCE; RISK; CHOICE; OPTIMIZATION; PREFERENCES; INVESTMENT; ALLOCATION; SELECTION;

D O I：

10.1080/00036846.2018.1459037

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：4671 / 4693

页数：23

共 46 条

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[Anonymous], 1970, Mathematical Methods in Risk Theory

[2]

[Anonymous], 2005, Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing

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