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

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Eom, Cheoljun; Park, Jongwon; Jung, Woo-Sung; Kaizoji, Taisei; Kim, Yong H.;
  • Subject: Quantitative Finance - Portfolio Management | Quantitative Finance - Statistical Finance

In 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... View more
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