How many independent bets are there?

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dc.creatorPolakow, Daniel
dc.creatorGebbie, Tim
dc.date2006-01-23
dc.date2008-01-11
dc.date.accessioned2026-07-07T12:09:53Z
dc.date.available2026-07-07T12:09:53Z
dc.descriptionThe benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available to an investor. Conventionally applications us- ing breadth frequently assume only the number of separate bets. There may be a large discrepancy between these two interpretations. We uti- lize a simple singular-value decomposition (SVD) and the Keiser-Gutman stopping criterion to select the integer-valued effective dimensionality of the correlation matrix of returns. In an emerging market such as South African we document an estimated breadth that is considerably lower than anticipated. This lack of diversification may be because of market concentration, exposure to the global commodity cycle and local currency volatility. We discuss some practical extensions to a more statistically correct interpretation of market breadth, and its theoretical implications for both global and domestic investors.
dc.descriptionLess technical rewrite. 12 Pages, 6 Figures (.eps)
dc.identifierhttps://arxiv.org/abs/physics/0601166
dc.identifierhttp://arxiv.org/abs/physics/0601166
dc.identifierJ Asset Manag 9: 278-288 2008
dc.identifierdoi:10.1057/jam.2008.26
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209780
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectPortfolio Management
dc.subjectStatistical Finance
dc.titleHow many independent bets are there?
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