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When Does Diversification between Two Investments Pay?

Published online by Cambridge University Press:  19 October 2009

Shelby L. Brumelle
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Extract

Intuitively, a risk averter diversifies between two investments if there is some sort of negative interdependence. In [3], Samuelson gives the example of buying shares in a coal company and an ice company. It is of interest to characterize this concept of negative interdependence more sharply.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 3 , June 1974 , pp. 473 - 483
Copyright
Copyright © School of Business Administration, University of Washington 1974

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References

REFERENCES

[1]Lehmann, E.L.Testing Statistical Hypothesis. New York: Wiley, 1959.Google Scholar
[2]Loeve, M.Probability Theory. Princeton, N.J.: D. Van Nostrand Co., Inc., 1963.Google Scholar
[3]Samuelson, P.A. “General Proof that Diversification Pays.” Journal of Finance and Quantitative Analysis, March 1967, pp. 1–13.CrossRefGoogle Scholar