This note is a response to a recent paper by Erb and Harvey (2005). We show that diversification returns are …

diversification is always preferable is reversed for extremely heavy-tailed risks or returns. The stylized facts on diversification …

In this paper, we examine if the diversification decisions of individual investors influence asset prices. First, we …' under-diversification and find that younger, low-income, and relatively less sophisticated investors hold less diversified …-confidence are less diversified. Finally, we show that the systematic under-diversification of individual investors influence asset …