This paper explores the benefits of sectoral diversification in equity investments, comparing traditional and modern portfolio management frameworks for investors with different risk perceptions. We use monthly price data on 200 companies, listed on the Borsa Istanbul, for the period January...

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...