  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.

Portfolio Management;Statistical Finance