Abstract
Using a sophisticated sampling technique, the authors compare randomly constructed stock portfolios with portfolios using the underlying population and evaluate them with 18 different measures. The randomization included portfolio size and portfolio start date to eliminate timing bias from the analysis. By comparing the 18 statistics across the portfolios, average portfolio sizes to reproduce the population characteristics were computed. The optimal portfolio size depended greatly on the criterion being used to judge the adequacy of diversification.
- © 2013 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.
Log in using your username and password
In this issue
Portfolio Size Revisited
