Naive versus optimal diversification: Tail risk and performance.
European Journal of Operational Research（2018）
摘要
•Examine the tail risk of naive diversification relative to optimal diversification.•Naive diversification increases tail risk and makes portfolio returns more concave.•Outperformance of naive strategy represents compensation for increased tail risk.
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关键词
Investment analysis,Mean–variance analysis,Portfolio optimization,Tail risk
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