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Risk Reduction and Portfolio Size: An Analytical Solution

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  • Elton, Edwin J
  • Gruber, Martin J
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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 50 (1977)
    Issue (Month): 4 (October)
    Pages: 415-37

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    Handle: RePEc:ucp:jnlbus:v:50:y:1977:i:4:p:415-37

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1651-1684, 08.
    2. Tasca, Paolo & Mavrodiev, Pavlin & Schweitzer, Frank, 2013. "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley qt7s57834n, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    3. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(4), pages 362-390, November.
    4. Peter Byrne & Stephen Lee, 2000. "Risk reduction in the United Kingdom property market," Journal of Property Research, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(1), pages 23-46, January.
    5. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles 12-003, ULB -- Universite Libre de Bruxelles.
    6. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers, Centre de Recherche en Economie et Statistique 2012-35, Centre de Recherche en Economie et Statistique.
    7. Chia, Rui Ming Daryl & Lim, Kai Jie Shawn, 2012. "The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market," MPRA Paper 41455, University Library of Munich, Germany.
    8. Medo, Matús & Yeung, Chi Ho & Zhang, Yi-Cheng, 2009. "How to quantify the influence of correlations on investment diversification," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(1-2), pages 34-39, March.
    9. Alexeev, Vitali & Dungey, Mardi, 2013. "Equity portfolio diversification with high frequency data," Working Papers, University of Tasmania, School of Economics and Finance 2013-18, University of Tasmania, School of Economics and Finance, revised 01 Nov 2013.
    10. Matus Medo & Chi Ho Yeung & Yi-Cheng Zhang, 2008. "How to quantify the influence of correlations on investment diversification," Papers 0805.3397, arXiv.org, revised Feb 2009.
    11. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 78-85.
    12. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, Elsevier, vol. 3(3), pages 194-206, September.
    13. Tang, Gordon Y. N., 2004. "How efficient is naive portfolio diversification? an educational note," Omega, Elsevier, Elsevier, vol. 32(2), pages 155-160, April.
    14. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," EconomiX Working Papers 2011-20, University of Paris West - Nanterre la Défense, EconomiX.
    15. Jory, Surendranath R. & Ngo, Thanh N., 2012. "The effect of foreign segment location on the geographical diversification discount," Global Finance Journal, Elsevier, vol. 23(2), pages 108-124.
    16. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(8), pages 1162-1175.
    17. Dirk P.M. De Wit, 1997. "Real Estate Diversification Benefits," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 14(2), pages 117-136.

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