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摘要翻译：
在本研究中，我们实证研究了市场性质对投资组合中股票投资权重分散程度的影响。根据Markowitz的投资组合理论，确定了投资组合中股票的权重。我们发现，市场性质的影响与投资组合中股票权重的多样化程度之间存在负相关关系。此外，我们注意到随机矩阵理论方法可以控制股票间相关矩阵的性质；这对于改进项目组合管理以便于实际应用可能是有用的。
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英文标题：
《The Effects of Market Properties on Portfolio Diversification in the
Korean and Japanese Stock Markets》
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作者：
Cheoljun Eom, Jongwon Park, Woo-Sung Jung, Taisei Kaizoji, Yong H. Kim
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitz's portfolio theory. We identified that there was a negative relationship between the influence of market properties and the degree of diversification of the weights among stocks in a portfolio. Furthermore, we noted that the random matrix theory method could control the properties of correlation matrix between stocks; this may be useful in improving portfolio management for practical application.
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PDF链接：
https://arxiv.org/pdf/0902.3836
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