Template-Type: ReDIF-Article 1.0
Author-Name: Victor A. Gorelik
Author-Email: vgor16@mail.ru
Author-Workplace-Name: The State University of the Ministry of Finance of the Russia
Author-Name: Tatyana V. Zolotova
Author-Email: tgold11@mail.ru
Author-Workplace-Name: The State University of the Ministry of Finance of the Russia
Title: Correlation of Return on Investment Portfolios and Equity Market Stability
Abstract: The article presents assessment of the collective risk on the equity market as a measure of variability of the investment portfolios. It proves that uniform behavior of investors, i.e. portfolio optimization per Markowitz (with regard to different risks), results in positive correlation of the return of their portfolios, which may cause significant volatility of the market. An approach to market stability assessment is proposed.
Classification-JEL:
Keywords: individual risk, collective risk, correlation, market entropy, stability measure
Journal: Finansovyj žhurnal — Financial Journal
Pages: 43-52
Issue: 3
Year: 2012
Month: July
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2012/3/statii/2012_03_04.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:120304:p:43-52