Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?

Alexeev, V; Tapon, F

Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?

Alexeev, V

Tapon, F

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Publisher:: Rogers Media Inc
Publication Type:: Journal Article
Citation:: Canadian Investment Review, 2014, pp. 1 - 12
Issue Date:: 2014-10-14

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Field	Value	Language
dc.contributor.author	Alexeev, V https://orcid.org/0000-0003-3092-2500	en_US
dc.contributor.author	Tapon, F	en_US
dc.date.issued	2014-10-14	en_US
dc.identifier.citation	Canadian Investment Review, 2014, pp. 1 - 12	en_US
dc.identifier.issn	0840-6863	en_US
dc.identifier.uri	http://hdl.handle.net/10453/117057
dc.description.abstract	Portfolio risk is a function of the number of stocks held in portfolios. We simulate portfolios using daily observations for all traded and delisted equities in Canada from 1975 to 2011 and we calculate several measures of risk, including heavy-tailed to account for black swan events. For each risk measure, we calculate the average number of portfolio holdings and the upper limits of these holdings to assure investors of a specific reduction in diversifiable risk. In contrast to previous literature that suggests 10-15 stocks are enough to provide adequate diversification for an average investor, we find that in fact more than 50 stocks are needed to achieve the same level of diversification most of the time instead of on average.	en_US
dc.publisher	Rogers Media Inc	en_US
dc.relation.ispartof	Canadian Investment Review	en_US
dc.title	Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?	en_US
dc.type	Journal Article
utslib.for	010205 Financial Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.publication-status	Published online	en_US

Abstract:

Portfolio risk is a function of the number of stocks held in portfolios. We simulate portfolios using daily observations for all traded and delisted equities in Canada from 1975 to 2011 and we calculate several measures of risk, including heavy-tailed to account for black swan events. For each risk measure, we calculate the average number of portfolio holdings and the upper limits of these holdings to assure investors of a specific reduction in diversifiable risk. In contrast to previous literature that suggests 10-15 stocks are enough to provide adequate diversification for an average investor, we find that in fact more than 50 stocks are needed to achieve the same level of diversification most of the time instead of on average.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/117057