Optimal Versus Naive Diversification¶
DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?. Review of Financial Studies, 22(5), 1915-1953.
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1 citation across 1 artifact.
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Primes¶
- Symmetric Response to Asymmetric State
- Portfolio and negotiation. Equal-weight allocation over unequal-quality assets over-weights the low-quality ones, and split-the-difference rewards the more extreme opening position.
This sourceEqual-weight (1/N) allocation as a robust default under estimation error, the counterpoint to evidence-weighting unequal-quality assets.
- Portfolio and negotiation. Equal-weight allocation over unequal-quality assets over-weights the low-quality ones, and split-the-difference rewards the more extreme opening position.
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