Title

Diversification across mutual funds in a three-moment world

Document Type

Article

Publication Date

4-1-2000

Department

Finance, Real Estate, and Business Law

Abstract

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.

Publication Title

APPLIED ECONOMICS LETTERS

Volume

7

Issue

4

First Page

243

Last Page

245