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| Author: | Werner, J. |
| Title: | Diversification and equilibrium in securities markets |
| Journal: | Journal of Economic Theory
1997 : JUL, VOL. 75:1, p. 89-103 |
| Index terms: | DIVERSIFICATION STOCK MARKETS PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | In the theory and practice of portfolio management diversification risk plays an important role. One diversification strategy is to form a portfolio of one or more securities and exploit the correlation between the returns of the securities in order to obtain a high expected return and a low variance of the return of the portfolio, and the other strategy is to invest a small fraction of wealth in each of a large number of securities and thereby reduce the risk. The second diversification strategy is studied in this paper. |
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