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Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1-N portfolio. Of the 14 models weExpand
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
We provide a general nonlinear programming framework for identifying portfolios that have superior out-of-sample performance in the presence of estimation error. Expand
Systemic Risk and International Portfolio Choice
  • Sanjiv Ranjan Das, R. Uppal
  • Economics
  • 1 April 2002
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whetherExpand
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean-variance optimal portfolio. In contrast to the Bayesian approach to estimation error,Expand
Model Misspecification and Under-Diversification
In this Paper we develop a model of intertemporal portfolio choice where an investor accounts explicitly for the possibility of model misspecification. This work is motivated by the difficulty inExpand
Asset Prices with Heterogeneity in Preferences and Beliefs
In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have “catching up with the Joneses” utility functions and differ with respect toExpand
The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion
We study the effect of introducing a nonredundant derivative on the volatilities of the stock market return and the locally risk-free interest rate. Our analysis uses a standard, frictionless,Expand
Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification
We develop a model of portfolio choice to nest the views of Keynes,who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. Expand
Optimal Replication of Options with Transactions Costs and Trading Restrictions
This paper analyzes the strategy that minimizes the initial cost of replicating a contingent claim in a market with transactions costs and trading constraints. The linear programming and two-stageExpand
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serialExpand