When Does Diversification between Two Investments Pay?

When Does Diversification between Two Investments Pay?

Intuitively, a risk averter diversifies between two investments if there is some sort of negative interdependence. In [3], Samuelson gives the example of buying shares in a coal company and an ice company. It is of interest to characterize this concept of negative interdependence more sharply.

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Bibliographische Detailangaben
Veröffentlicht in:Journal of financial and quantitative analysis 1974-06, Vol.9 (3), p.473-483
1. Verfasser: Brumelle, Shelby L.
Format: Artikel
Sprache:eng
Schlagworte:
Counterexamples
Crop diversification
Decreasing functions
Distribution functions
Diversification
Financial investments
Interdependence
Investment
Investors
Negative
Portfolio diversification
Random variables
Risk aversion
Sufficient conditions
Utility functions
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Beschreibung
Zusammenfassung:Intuitively, a risk averter diversifies between two investments if there is some sort of negative interdependence. In [3], Samuelson gives the example of buying shares in a coal company and an ice company. It is of interest to characterize this concept of negative interdependence more sharply.
ISSN:0022-1090
1756-6916
DOI:10.2307/2329874