Economics at your fingertips  

Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?

Shishir Singh Lawrence Kryzanowski ()
Additional contact information
Shishir Singh Lawrence Kryzanowski: Concordia University, Quebec

Frontiers in Finance and Economics, 2010, vol. 7, issue 2, 1-37

Abstract: This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing status and market capitalization. Based on the population of stocks listed on the Toronto Stock Exchange (TSX) for 1975-2003, the study finds that the minimum portfolio size depends upon the chosen investment opportunity set, the metric(s) used to measure the benefits of diversification, and the criterion chosen to determine when the portfolio is sufficiently well diversified.

Keywords: diversification benefits; portfolio size; dispersion; Sharpe and Sortino ratios. (search for similar items in EconPapers)
JEL-codes: G11 G23 C15 D81 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Frontiers in Finance and Economics is currently edited by Ephraim Clark

More articles in Frontiers in Finance and Economics from SKEMA Business School
Series data maintained by Sophie Bodo (). This e-mail address is bad, please contact .

Page updated 2017-09-29
Handle: RePEc:ffe:journl:v:7:y:2010:i:2:p:1-37