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A note on diversification and the reduction of dispersion

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  • Johnson, K. H.
  • Shannon, D. S.

Abstract

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  • 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.
  • Handle: RePEc:eee:jfinec:v:1:y:1974:i:4:p:365-372
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    Citations

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    Cited by:

    1. 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.
    2. Tasca, Paolo & Mavrodiev, Pavlin & Schweitzer, Frank, 2014. "Quantifying the impact of leveraging and diversification on systemic risk," Journal of Financial Stability, Elsevier, vol. 15(C), pages 43-52.
    3. repec:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-016-2377-z is not listed on IDEAS
    4. Gilles Boevi Koumou, 2016. "Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit," Papers 1608.05024, arXiv.org, revised Aug 2016.
    5. 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.
    6. repec:eee:dyncon:v:82:y:2017:i:c:p:96-124 is not listed on IDEAS
    7. 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.
    8. Paolo Tasca & Stefano Battiston, "undated". "Diversification and Financial Stability," Working Papers CCSS-11-001, ETH Zurich, Chair of Systems Design.
    9. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
    10. repec:spr:annopr:v:272:y:2019:i:1:d:10.1007_s10479-018-2876-1 is not listed on IDEAS
    11. Alexeev, Vitali & Tapon, Francis, 2013. "Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets," Working Papers 2013-16, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Nov 2013.
    12. Vitali Alexeev & Francis Tapon, 2014. "The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets," Published Paper Series 2014-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Namwon Hyung & Casper G. de Vries, 2010. "The Downside Risk of Heavy Tails induces Low Diversification," Tinbergen Institute Discussion Papers 10-082/2, Tinbergen Institute.

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