Several contributions in the literature argue that a significant in-sample risk reduction can be obtained by investing in a relatively small number of assets in an investment universe. Furthermore, selecting small portfolios seems to yield good out-of-sample performances in practice. This analysis provides further evidence that an appropriate preselection of the assets in a market can lead to an improvement in portfolio performance.
SIMILAR POSTS
24 March 2022
Weak business models to blame for the collapse of UK energy providers
This week, we released research into the UK energy sector, which highlighted systemic shortcomings in the assessment of dozens of [...]
17 December 2021
Four Themes and a Notable Absence from Risk Minds 2021
After years of virtual conferences & the looming threat of the omicron variant, we weren't t sure what to expect [...]
The Credit Cycle Outlook
The good times are gone. As public markets wrestle with a perfect storm of macroeconomic risks and difficult national and [...]
