Diversification across mutual funds in a three-moment world

The standard deviation and skewness of returns of mutual fund portfolios is examined as the number of funds in the portfolio increases. Diversifying across mutual funds substantially reduces portfolio dispersion but also causes an undesirable increase in negative return skewness.

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Year of publication:	2000
Authors:	Cromwell, Nancy ; Taylor, Walton ; Yoder, James
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 7.2000, 4, p. 243-245
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195908