When Will Mean-Variance Efficient Portfolios Be Well Diversified?

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When Will Mean-Variance Efficient Portfolios Be Well Diversified?

Author Info

GREEN, R.C.
HOLLIFIELD, B.

Additional information is available for the following registered author(s):

Burton Hollifield

Abstract

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Publisher Info
Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 1990-12.

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Length: 37 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:cmu:gsiawp:1990-12

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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
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Related research
Keywords: portfolios ; risk ; pricing;

Other versions of this item:

Article
- Green, Richard C & Hollifield, Burton, 1992. " When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-809, December. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(2), pages 567-595. [Downloadable!] (restricted)
Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions," Working Papers ubs0605, University of Brescia, Department of Economics. [Downloadable!]
Other versions:
- Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
Marco Taboga, 2006. "Robust Portfolio Selection with and without Relative Entropy," The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Other versions:
- Pesaran, M.H. & Zaffaroni, P., 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics 0813, Faculty of Economics, University of Cambridge. [Downloadable!]
Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
," Working Papers 07-20, Bank of Canada. [Downloadable!]
Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany. [Downloadable!]
Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 362, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 510, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. Craig MacKinlay & Lubos Pástor, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 19-98, Wharton School Rodney L. White Center for Financial Research.
- A. Craig MacKinlay & Lubos Pastor, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 13-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
- MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(4), pages 883-916.
Hlouskova, Jaroslava & Lee, Gabriel S., 2001. "Legal Restrictions on Portfolio Holdings: Some Empirical Results," Economics Series 93, Institute for Advanced Studies. [Downloadable!]
John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]

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