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SIMULATION OF PORTFOLIO RETURNS: VARYING NUMBERS OF SECURITIES AND HOLDING PERIODS
Author(s) -
Lloyd William P.,
Goldstein Steven J.
Publication year - 1982
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1982.tb00623.x
Subject(s) - diversification (marketing strategy) , portfolio , econometrics , financial economics , security market , scale (ratio) , economics , modern portfolio theory , actuarial science , business , finance , geography , cartography , marketing
Variability may be measured around the long‐run market return by combining the well‐developed area of security diversification with the notion of time diversification. This non‐traditional concept of diversifiable risk is illustrated with results of a very large scale simulation. The results are very general since the data used in the simulation consist of all firms on the Center for Research in Security Prices (CRSP) monthly return file from January 1926 through December 1977.