Markowitz Versus the Talmudic Portfolio Diversification Strategies

  title={Markowitz Versus the Talmudic Portfolio Diversification Strategies},
  author={R. Duchin and H. Levy},
  journal={The Journal of Portfolio Management},
  pages={71 - 74}
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… Expand
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