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

37 Pages Posted: 17 Dec 2010  

Lawrence Kryzanowski

Concordia University, Quebec - John Molson School of Business

Shishir Singh

affiliation not provided to SSRN

Date Written: October 1, 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.

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

JEL Classification: G11, G23, C15, D81

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: https://ssrn.com/abstract=1727207

Lawrence Kryzanowski (Contact Author)

Concordia University, Quebec - John Molson School of Business ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada

Shishir Singh

affiliation not provided to SSRN

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