On Diversification Given Asymmetry in Returns
研究在收益存在正偏态且投资者偏好正偏态时，理性投资者为何会持有有限数量的同质风险资产，而非完全分散化投资。
ABSTRACT Complete diversification is the rational investment strategy for a risk averse individual in a homogeneous securities market who considers only the first two moments of return. Observed behavior of market participants, however, demonstrates that the majority of individual investors hold imperfectly diversified portfolios. The purpose of the present study is to examine one potential cause for this behavior which does not rely on imperfection in the capital market. Specifically, we show that given the existence of, and investor preference for, positive skewness, a rational investor may hold an optimal limited number of homogeneous risk assets.