Diversification, Gambling and Market Forces (Digest Summary):M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157

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Jackson, Antony (2016) Diversification, Gambling and Market Forces (Digest Summary):M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157. In: UNSPECIFIED CFA Institute.

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Abstract

Investors underdiversify because of solvency constraints and preferences for lottery-type outcomes. The relationship between underdiversification and positive skewness of portfolio returns breaks down somewhat in bear markets as co-movement between stocks increases.

Item Type:	Book Section
Additional Information:	CFA Digest Summary of 'Diversification, Gambling and Market Forces'; M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157
Faculty \ School:	Faculty of Social Sciences > School of Economics
Related URLs:	https://link.springer.com/article/10.100... https://www.cfainstitute.org/en/research...
Depositing User:	Pure Connector
Date Deposited:	08 Mar 2017 01:44
Last Modified:	25 Aug 2021 23:35
URI:	https://ueaeprints.uea.ac.uk/id/eprint/62899
DOI:

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