- 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
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