Abstract
The benefits of diversification are well known and indeed diversification is frequently applied in real-life portfolio optimization. The first proof of portfolio diversification is given by Markowitz (1952). In his seminal paper, Markowitz provides a normative basis of portfolio choice which has led to modern portfolio theory. The mean-variance framework has become standard knowledge in finance theory.
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© 2013 Gabriel Frahm and Christof Wiechers
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Frahm, G., Wiechers, C. (2013). A Diversification Measure for Portfolios of Risky Assets. In: Batten, J.A., MacKay, P., Wagner, N. (eds) Advances in Financial Risk Management. Palgrave Macmillan, London. https://doi.org/10.1057/9781137025098_13
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DOI: https://doi.org/10.1057/9781137025098_13
Publisher Name: Palgrave Macmillan, London
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