Markowitz Versus the Talmudic Portfolio Diversification Strategies

@inproceedings{Duchin2009MarkowitzVT,
  title={Markowitz Versus the Talmudic Portfolio Diversification Strategies},
  author={Ran Duchin and Haim Levy},
  year={2009}
}
Although expected utility theory and the classical mean variance diversification theory of Markowitz assert that optimal diversification depends on the joint distribution of returns, investors tend to ignore these well-accepted theoretical approaches in favor of the naive investment strategy promulgated in the Babylonian Talmud called the 1/3 rule (or the 1/ n rule for n assets),which assigns an equal weight to each security in the portfolio. In testing the efficiency of the 1/ n rule, the… CONTINUE READING