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The Effect Of Portfolio Construction Rules On The Relationship Between Portfolio Size And Effective Diversification

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  • William P. Lloyd
  • John H. Hand
  • Naval K. Modani

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  • William P. Lloyd & John H. Hand & Naval K. Modani, 1981. "The Effect Of Portfolio Construction Rules On The Relationship Between Portfolio Size And Effective Diversification," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 183-193, September.
    • Handle: RePEc:bla:jfnres:v:4:y:1981:i:3:p:183-193
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1981.tb00602.x
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Latane, Henry A & Young, William E, 1969. "Test of Portfolio Building Rules," Journal of Finance, American Finance Association, vol. 24(4), pages 595-612, September.
    3. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
    4. Johnson, K. H. & Shannon, D. S., 1974. "A note on diversification and the reduction of dispersion," Journal of Financial Economics, Elsevier, vol. 1(4), pages 365-372, December.
    5. Frankfurter, George M, 1976. "The Effect of "Market Indexes" on the Ex-Post Performance of the Sharpe Portfolio Selection Model," Journal of Finance, American Finance Association, vol. 31(3), pages 949-955, June.
    6. Bloomfield, Ted & Leftwich, Richard & Long, John Jr., 1977. "Portfolio strategies and performance," Journal of Financial Economics, Elsevier, vol. 5(2), pages 201-218, November.
    7. Elton, Edwin J & Gruber, Martin J, 1977. "Risk Reduction and Portfolio Size: An Analytical Solution," The Journal of Business, University of Chicago Press, vol. 50(4), pages 415-437, October.
    8. Fisher, Lawrence & Lorie, James H, 1970. "Some Studies of Variability of Returns on Investments in Common Stocks," The Journal of Business, University of Chicago Press, vol. 43(2), pages 99-134, April.
    9. Mokkelbost, Per B., 1971. "Unsystematic Risk Over Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(2), pages 785-796, March.
    10. Frankfurter, George M. & Frecka, Thomas J., 1979. "Efficient Portfolios and Superfluous Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 925-938, December.
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    Cited by:

    1. Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao, 2005. "Portfolios of Agricultural Market Advisory Services: How Much Diversification Is Enough?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 101-114, April.
    2. Gilles Boevi Koumou, 2016. "Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit," Papers 1608.05024, arXiv.org, revised Aug 2016.
    3. Peter Byrne & Stephen Lee, 2000. "Risk reduction in the United Kingdom property market," Journal of Property Research, Taylor & Francis Journals, vol. 17(1), pages 23-46, January.
    4. Peter J. Byrne & Stephen Lee, 2001. "Risk reduction and real estate portfolio size," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 369-379.

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