Markowitz Versus the Talmudic Portfolio Diversification Strategies

@article{Duchin2009MarkowitzVT,
  title={Markowitz Versus the Talmudic Portfolio Diversification Strategies},
  author={Ran Duchin and Haim Levy},
  journal={The Journal of Portfolio Management},
  year={2009},
  volume={35},
  pages={71 - 74}
}
  • R. DuchinH. Levy
  • Published 31 January 2009
  • Economics
  • The Journal of Portfolio Management
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 naïve 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… 

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