KAIZOJI, Taisei
Professor Division of Arts and Sciences, College of Liberal Arts, International Christian University |
|
Language | English |
Publication Date | 2020/04 |
Type | Research Paper |
Title | Inherent Limitations of Portfolio Diversification through Fat Tails of the Return Distributions: An Empirical Evidence |
Contribution Type | Joint Work |
Journal | The North American Journal of Economics and Finance |
Journal Type | Another Country |
Publisher | Elsevier Inc. |
Volume, Issue, Pages | 56,pp.101358 |
Author and coauthor | Cheoljun Eom, Taisei Kaizoji, Giacomo. Livan, and Enrico Scala |
Details | Highlights
•This study investigates the risk property in fat tails of the return distribution. •Fat-tails are not eliminated through portfolio diversification. •Fat-tails are highly related to properties of systematic risks. •Negative tail has raising fatness, and declining fatness for positive tail. •Portfolio diversification requires more profit sacrifice for loss avoidance. |