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How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature
16 references·2 citing·52 second hop
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An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Why is there a home bias? An …EXTENDING MODERN PORTFOLIO THEORY INTO THE DOMAIN OF CORPORATE DIVERSIFICATION: DOES IT APPLY? (1994)EXTENDING MODERN PORTFOLIO TH…How Many Stocks Make a Diversified Portfolio? (1987)How Many Stocks Make a Divers…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning (2022)Markowitz Mean-Variance Portf…Do green bonds offer a diversification opportunity during COVID-19?—an empirical evidence from energy, crypto, and carbon markets (2022)Do green bonds offer a divers…Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Safety First and the Holding of Assets (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)Beyond Greed and Fear (2002)Socially Responsible Indexes (2006)Information demand and stock market volatility (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Law and Finance (1998)Commonality in Liquidity: A Global Perspective (2009)The illiquidity premium: International evidence (2015)Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns (2019)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Does industrial structure explain the benefits of international diversification? (1994)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Ex Ante Skewness and Expected Stock Returns (2012)The Behavior of Individual Investors (2013)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Diversification and International Equity Markets (1991)Trying to Explain Home Bias in Equities and Consumption (1999)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)The determinants of cross-border equity flows (2004)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Essays in the Theory of Risk-Bearing. (1972)ARCH modeling in finance (1992)Asset allocation under multivariate regime switching (2007)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010)Determinants of bid-asked spreads in the over-the-counter market (1974)Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Diversification in a Three-Moment World (1978)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan1,542 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 2007Equilibrium Underdiversification and the Preference for Skewness784 cited
  • 1987How Many Stocks Make a Diversified Portfolio?609 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*588 cited
  • 2010The world price of liquidity risk487 cited
  • 2008International asset allocation under regime switching, skew, and kurtosis preferences400 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1994EXTENDING MODERN PORTFOLIO THEORY INTO THE DOMAIN OF CORPORATE DIVERSIFICATION: DOES IT APPLY?318 cited
  • 2011Correlation of financial markets in times of crisis285 cited
  • 2016Machine Learning and Portfolio Optimization284 cited
  • 2002International portfolio diversification: US and Central European equity markets

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267 cited
  • 2011International diversification with frontier markets232 cited
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    • 2022Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning80 cited
    • 2022Do green bonds offer a diversification opportunity during COVID-19?—an empirical evidence from energy, crypto, and carbon markets40 cited