Achieving Portfolio Diversification for Individuals with Low Financial Sustainability

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While many individuals make investments to gain financial stability, most individual investors hold under-diversified portfolios that consist of only a few financial assets. Lack of diversification is alarming especially for average individuals because it may result in massive drawdowns in their portfolio returns. In this study, we analyze if it is theoretically feasible to construct fully risk-diversified portfolios even for the small accounts of not-so-rich individuals. In this regard, we formulate an investment size constrained mean-variance portfolio selection problem and investigate the relationship between the investment amount and diversification effect.
Publisher
MDPI
Issue Date
2020-09
Language
English
Article Type
Article
Citation

SUSTAINABILITY, v.12, no.17

ISSN
2071-1050
DOI
10.3390/su12177073
URI
http://hdl.handle.net/10203/276721
Appears in Collection
IE-Journal Papers(저널논문)
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