Toward Maximum Diversification

  title={Toward Maximum Diversification},
  author={Yves Choueifaty and Yves Coignard},
  journal={The Journal Of Portfolio Management},
  pages={40 - 51}
Along with the ongoing effort to build market cap–independent portfolios, the authors explore the properties of diversification as a driver of portfolio construction. They introduce a measure of the diversification of a portfolio that they term the diversification ratio. The measure is then employed to build a risk-efficient portfolio, or the Most- Diversified Portfolio. The theoretical properties of the resulting portfolios are discussed and compared to other popular methodologies, such as… 

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