Superiority of optimized portfolios to naive diversification: Fact or fiction?
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More about this item
KeywordsLow-volatility anomaly; Portfolio optimization; Naive diversification; Out-of-sample simulations; Risk-based explanation;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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