According to a report by the Australian Securities and Investments Commission in 2008, most (78%) of Australian investors had heard the term diversification. Nevertheless, around half of investors (49%) held only one type of investment (shares only) with the average number of holdings of 2.19...

Investors wishing to achieve a particular level of diversification may be misled on how many stocks to hold in a portfolio by assessing the portfolio risk at different data frequencies. High frequency intradaily data provide better estimates of volatility, which translate to more accurate...

In this study of five developed markets we analyse the sizes of portfolios required for achieving most diversication benefits. Using daily data, we trace the year-to-year dynamic of these sizes between 1975 and 2011. We compute several widely-accepted measures of risk and use an extreme risk...