Why Naive Diversification Is Not So Naive, and How to Beat It?
Journal of Financial and Quantitative Analysis · 2024 · Volume 59 · Issue 8
DOI: 10.1017/S0022109023001175
Abstract
We show theoretically that the usual estimated investment strategies will not achieve the optimal Sharpe ratio when the dimensionality is high relative to sample size, and the is large.
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