When Does Diversification between Two Investments Pay?

Shelby L. Brumelle

Journal of Financial and Quantitative Analysis, 1974, vol. 9, issue 3, 473-483

Abstract: Intuitively, a risk averter diversifies between two investments if there is some sort of negative interdependence. In [3], Samuelson gives the example of buying shares in a coal company and an ice company. It is of interest to characterize this concept of negative interdependence more sharply.

Date: 1974
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