The Myth of Diversification

@article{Chua2009TheMO,
  title={The Myth of Diversification},
  author={David B. Chua and M. Kritzman and S. Page},
  journal={The Journal of Portfolio Management},
  year={2009},
  volume={36},
  pages={26 - 35}
}
Perhaps the most universally accepted precept of prudent investing is to diversify, yet this precept grossly oversimplifies the challenge of portfolio construction. Correlations, as typically measured over the full sample of returns, often belie an asset’s diversification properties in market environments when diversification is most needed. Moreover, upside diversification is undesirable. The authors first describe the mathematics of conditional correlations assuming returns are normally… Expand

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