The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets

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dc.creatorEom, Cheoljun
dc.creatorPark, Jongwon
dc.creatorJung, Woo-Sung
dc.creatorKaizoji, Taisei
dc.creatorKim, Yong H.
dc.date2009-02-23
dc.date.accessioned2026-07-07T12:45:34Z
dc.date.available2026-07-07T12:45:34Z
dc.descriptionIn this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitz's portfolio theory. We identified that there was a negative relationship between the influence of market properties and the degree of diversification of the weights among stocks in a portfolio. Furthermore, we noted that the random matrix theory method could control the properties of correlation matrix between stocks; this may be useful in improving portfolio management for practical application.
dc.identifierhttps://arxiv.org/abs/0902.3836
dc.identifierhttp://arxiv.org/abs/0902.3836
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/221124
dc.subjectPortfolio Management
dc.subjectStatistical Finance
dc.titleThe Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
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