Diversification, Gambling and Market Forces (Digest Summary): M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157

Antony Jackson

Diversification, Gambling and Market Forces (Digest Summary): M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157

Antony Jackson

School of Economics

Research output: Contribution to specialist publication › Book/Film/Article review

Abstract

Investors underdiversify because of solvency constraints and preferences for lottery-type outcomes. The relationship between underdiversification and positive skewness of portfolio returns breaks down somewhat in bear markets as co-movement between stocks increases.

Original language	English
Volume	46
No.	12
Specialist publication	CFA Digest
Publisher	CFA Institute
Publication status	Published - Dec 2016

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title = "Diversification, Gambling and Market Forces (Digest Summary): M-H. Broihanne, M. Merli \& P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157 ",

abstract = "Investors underdiversify because of solvency constraints and preferences for lottery-type outcomes. The relationship between underdiversification and positive skewness of portfolio returns breaks down somewhat in bear markets as co-movement between stocks increases.",

author = "Antony Jackson",

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Diversification, Gambling and Market Forces (Digest Summary): M-H. Broihanne, M. Merli & P. Roger, Review of Quantitative Finance and Accounting, Vol. 47, No. 1 (July 2016), 129-157

Abstract

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