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| Author: | De Wit, D. P. M. |
| Title: | Naive diversification |
| Journal: | Financial Analysts' Journal
1998 : JUL/AUG, VOL. 54:4, p. 95-100 |
| Index terms: | Risk Portfolio management Models USA |
| Language: | eng |
| Abstract: | Some diversifiable risk is always left in a portfolio. It is argued that the excess risk in randomly selected portfolio of a given size should be compensated for. The analysis shows that the required excess return of an imperfectly diversified portfolio depends on just two parameters: the equity risk premium and the average correlation between stock returns. |
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