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

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
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Depositing User: Pure Connector
Date Deposited: 08 Mar 2017 01:44
Last Modified: 25 Nov 2020 00:53
URI: https://ueaeprints.uea.ac.uk/id/eprint/62899
DOI:

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