search query: @author Kryzanowski, L. / total: 13
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| Author: | Dbouk, W. Kryzanowski, L. |
| Title: | Diversification benefits for bond portfolios |
| Journal: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 533-553 |
| Index terms: | diversification stocks bonds portfolio selection |
| Language: | eng |
| Abstract: | The diversification (henceforth as: divn.) of stock portfolios (here as: p-f./p-fs.) has been primarily in the focus of finance research. Various metrics are used to assess the divn. benefits, and the optimal bond p-f. sizes (PSs) for investment opportunity (IO) sets differentiated by credit ratings, issuer type, and term-to-maturity. While PSs of 25-40 bonds seem optimal for the marginal reduction of dispersion with increasing PS, larger (smaller) PSs are optimal if the investor is concerned about left tail weight. Although the marginal reduction of dispersion is less than 1 percent beyond the optimal PSs, much potential divn. benefits still remain unrealized for many of the explored IO sets. |
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