Factor investing: alpha concentration versus diversification

Individual versus Institutional Investing

This paper first describes the analytic approach that Markowitz used in developing his portfolio theory. Developing a game-of-life simulation is a parallel approach for modelling individualfinancial management. To develop a realistic simulator will require deciding what goals are essential to the family planning process, formulating optimizable subproblems, using technology to interpret and rec...

Diversification and ownership concentration

We consider a mean-variance general equilibrium economy where the expected returns for controlling and non-controlling shareholders are different because the former are able to divert a fraction of the profits. We find that when investor protection is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the benefits of diversification wh...

Craftsmanship Alpha: An Application to Style Investing

Top-Down Versus Bottom-Up Investing

in a world market where there are tens of thousands of stocks and hundreds of thousands of corporate bonds and other fixed-income securities, it is next to impossible for individual investors who have other things to do to figure out what to buy and what to sell. instead, we buy accounts and funds managed by investment professionals. how do professional investment managers form portfolios of se...

Market Share , Concentration and Diversification in Firm

*This paper is the result of work being undertaken as part of a collaborative research program entitled ‘The Performance of Australian Enterprises: Innovation, Productivity and Profitability’. The project is generously supported by the Australian Research Council and the following collaborative partners: Australia Tax Office, Commonwealth Office of Small Business, IBIS Business Information Pty ...