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by whoisnnamdi
1941 days ago
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This study [1] does a good job rigorously comparing 1/N to various alternative trading strategies. It also talks about situations where 1/N is more or less likely to dominate. "Our simulations show that optimal diversification policies will dominate the 1/N rule only for very high levels of idiosyncratic volatility." [1] http://faculty.london.edu/avmiguel/DeMiguel-Garlappi-Uppal-R... |
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