Abstract

http://ssrn.com/abstract=1727207
 
 

References (58)



 
 

Citations (2)



 


 



Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?


Lawrence Kryzanowski


Concordia University, Quebec - Department of Finance

Shishir Singh


affiliation not provided to SSRN

October 1, 2010

Frontiers in Finance and Economics, Vol. 7, No. 2, 1-37, October 2010

Abstract:     
This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing status and market capitalization. Based on the population of stocks listed on the Toronto Stock Exchange (TSX) for 1975-2003, the study finds that the minimum portfolio size depends upon the chosen investment opportunity set, the metric(s) used to measure the benefits of diversification, and the criterion chosen to determine when the portfolio is sufficiently well diversified.

Number of Pages in PDF File: 37

Keywords: diversification benefits, portfolio size, dispersion, Sharpe and Sortino ratios

JEL Classification: G11, G23, C15, D81

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Date posted: December 17, 2010  

Suggested Citation

Kryzanowski, Lawrence and Singh, Shishir, Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios? (October 1, 2010). Frontiers in Finance and Economics, Vol. 7, No. 2, 1-37, October 2010. Available at SSRN: http://ssrn.com/abstract=1727207

Contact Information

Lawrence Kryzanowski (Contact Author)
Concordia University, Quebec - Department of Finance ( email )
Montreal, Quebec H3G 1M8
Canada
514-848-2782 (Phone)
514-848-4500 (Fax)
Shishir Singh
affiliation not provided to SSRN
Feedback to SSRN


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