Beating Diversification Strategies
The research indicates that the $1/N$ rule is best in high-dimensionality but can be improved by combining it with other rules or machine learning portfolios.
Featured in No. 83 on 23 Jan 2025 ·
- Released
- 8 Aug 2024
- First featured
- No. 83 · 23 Jan 2025
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- Identifier
- RePEc:cup:jfinqa:v:59:y:2024:i:8:p:3601-3632_3
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