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Solvency Constraint, Underdiversification, and Idiosyncratic Risks

Contrary to the prediction of the standard portfolio diversification theory, many investors place a large fraction of their stock investment in a small number of stocks. I show that underdiversification may be caused by solvency requirements. My model predicts that for quite general preferences... Full description

1st Person: Liu, Hong verfasserin
Source: in The Journal of Financial and Quantitative Analysis Vol. 49, No. 2 (2014), p. 409-430
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Type of Publication: Article
Language: English
Published: 2014
Online: Volltext
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