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

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  • Lawrence Kryzanowski, Shishir Singh

    ()
    (Concordia University, Quebec)

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    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.

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    File URL: http://www.ffe.esc-lille.com/papers/Vol7-2ms205Krizanowski.pdf
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    Bibliographic Info

    Article provided by SKEMA Business School in its journal Frontiers in Finance and Economics.

    Volume (Year): 7 (2010)
    Issue (Month): 2 (October)
    Pages: 1-37

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    Handle: RePEc:ffe:journl:v:7:y:2010:i:2:p:1-37

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    Web page: http://www.ffe.esc-lille.com

    Related research

    Keywords: diversification benefits; portfolio size; dispersion; Sharpe and Sortino ratios.;

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