Non-Gaussian diversification: When size matters |
| |
Authors: | François Desmoulins-Lebeault Cécile Kharoubi-Rakotomalala |
| |
Institution: | 1. Grenoble École de Management, 12, rue Pierre Sémard, 38000 Grenoble, France;2. ESCP Europe, 79, avenue de la République, 75011 Paris, France |
| |
Abstract: | Classical portfolio theory informs investors that they should have a large number of assets in their portfolios in order to diversify risk. We show that the non-Gaussian features of stock return distribution may not allow for this risk protection in times of crisis. Moreover, we demonstrate empirically that, if investors are risk-averse and consider higher order moments, they have numerous incentives not to diversify their portfolios fully. This is caused by the evolution of both large losses and asymmetry of returns when the numbers of assets in a portfolio change. |
| |
Keywords: | G11 G15 G52 |
本文献已被 ScienceDirect 等数据库收录! |
|