Sparse spanning portfolios and under-diversification with second-order stochastic dominance
The study explores whether relaxing sparsity constraints on portfolios enhances investment opportunities, finding no benefit from expanding a sparse opportunity set beyond 45 assets.
Featured in No. 36 on 7 Feb 2024 · 6 days after release · 15 citations today
- Released
- 1 Feb 2024
- First featured
- No. 36 · 7 Feb 2024
- Citations (Semantic Scholar)
- 15
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
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- 5
- Identifier
- SSRN 4713517
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