Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies
The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its extensions not only underperform the naive 1/N rule (that invests equally across N assets) in simulations, but also los...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1105 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2104/viewcontent/TZ50.pdf |
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| Institution: | Singapore Management University |
| Language: | English |