A Diversification Measure for Portfolios of Risky Assets

Gabriel Frahm and Christof Wiechers

Chapter 13 in Advances in Financial Risk Management, 2013, pp 312-330 from Palgrave Macmillan

Abstract: Abstract The benefits of diversification are well known and indeed diversification is frequently applied in real-life portfolio optimization. The first proof of portfolio diversification is given by Markowitz (1952). In his seminal paper, Markowitz provides a normative basis of portfolio choice which has led to modern portfolio theory. The mean-variance framework has become standard knowledge in finance theory.

Keywords: Risky Asset; Excess Return; Asset Return; Return Variance; Capital Asset Price Model (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (6)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-02509-8_13

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137025098

DOI: 10.1057/9781137025098_13

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().