This paper aims to provide a mathematical justification for asset allocation. Asset allocation is widely employed in practice, yet the question of its efficiency remains open. Asset allocation allows portfolio managers to concentrate on a relatively small number of assets, while security...

In this study, we propose a uniformly distributed random portfolio as an alternative benchmark for the portfolio performance evaluation. The uniformly distributed random portfolio is analogous to the enumeration of all feasible portfolios without any prior on the market. Therefore, the relative...