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Diversification and the Reduction of Dispersion: A Note

Published online by Cambridge University Press:  19 October 2009

G. A. Whitmore
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Extract

Recently, several researchers, including Evans, Archer [1], Latané, and Young [2], have performed empirical analyses of the relationship between the number of securities in a portfolio and the reduction in portfolio dispersion. In this note, an exact mathematical relationship between these two factors is presented.

Information

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 5 , Issue 2 , June 1970 , pp. 263 - 264
Copyright
Copyright © School of Business Administration, University of Washington 1970

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References

1 This mathematical result was first derived in Markowitz, H. M., Portfolio Selection: Efficient Diversification of Investments (New York: Wiley, 1959), pp. 109–115.Google Scholar