How Many Securities Make A Diversified Portfolio In Klse Stocks?
The paper examines the relationship between the portfolio risk and the number of stocks in a portfolio for a given portfolio return across portfolios of the Malaysian stocks during the period September 1988 through June 1997 to determine the optimum size for a portfolio of stocks. A sample of 213...
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| 主要な著者: | , , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Asian Academy of Management (AAM)
2001
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| 主題: | |
| オンライン･アクセス: | http://eprints.usm.my/35471/1/6-1-5.pdf http://eprints.usm.my/35471/ http://web.usm.my/aamj/6.1.2001/6-1-5.pdf |
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| 要約: | The paper examines the relationship between the portfolio risk and the number of
stocks in a portfolio for a given portfolio return across portfolios of the Malaysian
stocks during the period September 1988 through June 1997 to determine the
optimum size for a portfolio of stocks. A sample of 213 stocks traded on the Kuala
Lumpur Stock Exchange (KLSE) are considered to form sets of portfolios using the
Random Diversification Approach based on the Statman (1987) technique. The
study has incorporated an additional statistical test to supplement the Statman’s
approach. On average, a well-diversified portfolio of the Malaysian stocks is found
to contain at least 27 randomly chosen securities. The study is extended to
determine the diversified portfolio’s size for each of the lending and borrowing
investors based on the Statman (1987) methodology. A portfolio of 30 securities is
found to give a well diversified portfolio for the borrowing investors and of 50
securities for the lending investors. |
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