An empirical analysis and testing of complete portfolio diversification within the Markowitz efficiency criteria

Abstract

Since 1960, a great deal of effort has been deployed explaining the price of capital assets and the personal investment process. This study seeks neither to add to the existing structure of capital investment theory, nor to devise new ways of testing varions implications that have already been advanced. Rather, the aim is to examine and test the impact of investing in a complete array of capital assets in the United States economy within the portfolio-analysis framework. Our study could have been carried out using Canadian data but due to the difficulty in obtaining historical data, the United States economy was chosen.