Crezée, D.P.; Swinkels, L.A.P. - Erasmus Research Institute of Management (ERIM), ERIM … - 2010
We investigate the construction of well-diversified high-conviction equity portfolios, building on Rudin and Morgan (2006) who introduced the Portfolio Diversification Index (PDI) as a new measure of portfolio diversification applied to long/short equity hedge funds in an in-sample period. We...