• 1. Introduction
  • 2. Preliminaries
  • 2.1. Notation and Assumptions
  • 2.2. Important Theorems
  • 2.3. Out-of-Sample Variance
  • 3. The Dominant Estimator
  • 3.1. Small-Sample Properties
  • 3.2. Large-Sample Properties
  • 3.3. The Link to Covariance Matrix Estimation
  • 4. Naive Diversification vs. Portfolio Optimization
  • 4.1. A Small-Sample Simulation Study
  • 4.2.Testing the Naive Diversification Hypothesis
  • 5. Conclusion