How should individual investors diversify? An empirical evaluation of alternative asset allocation policies


Jacobs, Heiko ; Müller, Sebastian ; Weber, Martin


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URL: https://ub-madoc.bib.uni-mannheim.de/35603
URN: urn:nbn:de:bsz:180-madoc-356032
Document Type: Working paper
Year of publication: 2013
Place of publication: Mannheim
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Abstract: This paper evaluates numerous diversification strategies as a possible remedy against widespread costly investment mistakes of individual investors. Our results reveal that a very broad range of simple heuristic allocation schemes offers similar diversification gains, as well-established or recently developed portfolio optimization approaches. This holds true for both international diversification in the stock market and diversification over different asset classes. We thus suggest easy-to-implement allocation guidelines for individual investors.




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