How to quantify the influence of correlations on investment diversification

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dc.creatorMedo, Matus
dc.creatorYeung, Chi Ho
dc.creatorZhang, Yi-Cheng
dc.date2008-05-22
dc.date2009-02-16
dc.date.accessioned2026-07-07T13:04:03Z
dc.date.available2026-07-07T13:04:03Z
dc.descriptionWhen assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it lowers even further during financial crises.
dc.description14 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/0805.3397
dc.identifierhttp://arxiv.org/abs/0805.3397
dc.identifierInternational Review of Financial Analysis 18, 34-39 (2009)
dc.identifierdoi:10.1016/j.irfa.2009.01.001
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/227024
dc.subjectPortfolio Management
dc.subjectPhysics and Society
dc.titleHow to quantify the influence of correlations on investment diversification
dc.typetext

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