Is Your Portfolio Overweighted? Know When to Say When

Lai, Mun Sim; Seiler, Michael J.

doi:10.3905/jwm.2001.320391

Cited by 4 publications

(3 citation statements)

References 7 publications

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“…Depending on the vehicle, radio channel conditions, and medium access control (MAC), the choice of circuits does not present a moving average PLR challenge since a course is distributed. The existing average PLR is taken into account in the analysis sample by the above three factors [13]. However, the general PLR closed exposure stubbornness is one of the most important for integrating distance distributions along with channel conditions and vehicle movement.…”

Section: Related Workmentioning

confidence: 99%

An Efficient Secure Vanet Communication Using Multi Authenticate Homomorphic Signature Algorithm

Kavitha¹,

Varatharajan²

2021

NPSC

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Section: Related Workmentioning

confidence: 99%

An Efficient Secure Vanet Communication Using Multi Authenticate Homomorphic Signature Algorithm

Kavitha¹,

Varatharajan²

2021

NPSC

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“…The claim is based on studies comparing the variance of a single asset to the variance of portfolios with increasingly more securities, an approach pioneered by Evans and Archer (1968). Lai and Seiler (2001) use a similar approach to study diversification within industry groups.…”

Section: Introductionmentioning

confidence: 99%

Diversification in Portfolios of Individual Stocks: 100 Stocks Are Not Enough

Domian

Louton

Racine

2007

The Financial Review

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We examine returns and ending wealth in portfolios selected from 1,000 large U.S. stocks over a 20-year holding period. Shortfall risk, the possibility of ending wealth being below a target, is a useful metric for long horizon investors and is consistent with the Safety First criterion. Density functions obtained from simulations illustrate that shortfall risk reduction continues as portfolio size is increased, even above 100 stocks. A slightly lower risk can be achieved in small portfolios by diversifying across industries, but a greater reduction is obtained by simply increasing the number of stocks. Copyright 2007, The Eastern Finance Association.

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“…This approach has also been adopted by a number of contemporary studies on diversification and is the methodology often referenced in finance textbooks , 1996. Lai and Seiler (2001) use this methodology to study diversification within industry groups and Benjelloun (2010) uses this approach to study the benefits of diversification from a terminal wealth perspective.…”

Section: Traditional Approaches To Testing the Benefits Of Diversificmentioning

confidence: 99%

The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market

Daryl¹,

Shawn²

2012

IJEF

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In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for equally weighted and market capitalisation weighted portfolios in the UK Equity Market over 2002 -2012. We analyse the absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene's Test. Next, we perform a cost-benefit analysis to determine the return benefit of diversification from a practical perspective. We find that the absolute benefits of diversification for an equally weighted portfolio are greater in the 'crisis' than 'pre-crisis' period, but when we analyse the results from a practical perspective the benefits fall dramatically and the results are reversed. When comparing the benefits of market capitalisation weighted and equally weighted portfolios, we note that the benefits of diversification tend to be greater for an equally weighted portfolio for small portfolios but that a crossover occurs as the size of the portfolio increases. The relative benefits of diversification under these different weighting strategies are thus highly dependent upon the state of the market and further study is needed to determine why the diversification benefits for the alternative weighting strategies decay at varying rates.

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Is Your Portfolio Overweighted? Know When to Say When

Cited by 4 publications

References 7 publications

An Efficient Secure Vanet Communication Using Multi Authenticate Homomorphic Signature Algorithm

An Efficient Secure Vanet Communication Using Multi Authenticate Homomorphic Signature Algorithm

Diversification in Portfolios of Individual Stocks: 100 Stocks Are Not Enough

The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market

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