We examine returns and ending wealth in portfolios selected from 1,000 large US stocks
over a 20‐year holding period. Shortfall risk, the possibility of ending wealth being below a …

This paper presents a novel framework for optimizing portfolios using distribution dependent
thresholds in Omega ratio to control the downside risk. Portfolios resulting from the …

This thesis investigates the application of principal component analysis to the Australian
stock market using ASX200 index and its constituents from April 2000 to February 2014. The …

How many stocks are required to reduce unsystematic risk significantly is an important
question for investors. While there is a large body of research on the subject in the United …

This paper investigates the non-monotonic and non-linear effect of diversification on mutual
fund performance. We apply a frontier-based efficiency measure, the stochastic frontier …

Finance textbooks typically state that 8 to 20 stocks can provide adequate diversification for
a portfolio. However, these recommendations usually assume a short time horizon such as …

We propose a stock selection method that is based on a variable selection method used with
principal component analysis in multivariate statistics. The method successively eliminates …

How to achieve adequate diversification is important in portfolio construction. Efficient
markets should not reward an investor for taking on risk that can be diversified away. Hence …

Purpose–There has been considerable debate on the linear relationship between
systematic risk and return. The purpose of this study is to investigate whether security return …

Studies of naïve diversification show that average total portfolio risk declines asymptotically
as number of stocks increases. Recent work shows that a significant amount of idiosyncratic …