We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets...

It is a well-documented fact that wealth is distributed according to a power-law (Pareto) distribution at high wealth levels. Various models of wealth accumulation have been suggested in order to explain this empirical wealth distribution. Although these models are quite different one from the...

This paper shows that under some plausible assumptions about the distributions of returns and the utility functions of the investors the CAPM holds in every single period even if investors have multiperiod diverse investment horizons. This hold even when portfolio returns are dependent over...