Diversification Across Mutual Funds in a Three-Moment World
Finance, Real Estate, and Business Law
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.
Applied Economics Letters
Cromwell, N. O.,
Taylor, W. R.,
Yoder, J. A.
(2000). Diversification Across Mutual Funds in a Three-Moment World. Applied Economics Letters, 7(4), 243-245.
Available at: http://aquila.usm.edu/fac_pubs/4227