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Diversification in a Three-Moment World

Published online by Cambridge University Press:  06 April 2009

Michael A. Simkowitz  and
William L. Beedles
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Extract

Of the behavioral recommendations garnered from modern capital market theory, few, if any, generalizations have been documented as convincingly as the simple advice to hold several assets in one's portfolio. Sharpe made such a conclusion perfectly clear when he stated [27, p. 184]:

If the market is efficient and if an investor is privy to no special information or predictive power, what should he do? First, and most important: diversify.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 5 , December 1978 , pp. 927 - 941
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

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