A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps”
RAVI JAGANNATHAN, TONGSHU MA, JIAQI ZHANG
The Journal of Finance · 2019 · Volume 74 · Issue 5
Abstract
This note corrects an error in the proof of Proposition 2 of “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps” that appeared in theJournal of Finance, August 2003.
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