The effect of diversification on tail risk: evidence from US equity mutual fund portfolios
This paper examines the effect of diversification on the tail risk of US equity mutual fund portfolios by utilizing classical higher-moment measures and robust tail weight measures. Empirical results show that market standard portfolios based on the mean-variance framework are exposed to greater tail risk than benchmark portfolios are and diversification further intensifies this exposure.
International Review of Finance
Banking, Finance and Investment not elsewhere classified