Markowitz Versus the Talmudic Portfolio Diversification Strategies

By R. Duchin, Haim Levy. Journal of Portfolio Management, 2009

154 citations recorded by the source corpus.

Subfields: Endocrinology, Diabetes and Metabolism, Pulmonary and Respiratory Medicine, Surgery

View Paper: https://www.semanticscholar.org/paper/f8d7615264faba01b216c8c687ff9f947c4bb555

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Endocrinology, Diabetes and Metabolism

1. Yuliya Plyakha
2. Gustavo Peralta
3. Abalfazl Zareei
4. Raman Uppal
5. Grigory Vilkov

In Pulmonary and Respiratory Medicine

1. Yuliya Plyakha
2. Gustavo Peralta
3. Abalfazl Zareei
4. Raman Uppal
5. Grigory Vilkov

In Surgery

1. Yuliya Plyakha
2. Gustavo Peralta
3. Abalfazl Zareei
4. Raman Uppal
5. Grigory Vilkov

Citations in the corpus

• A Network Approach to Portfolio Selection (2016, methodology): “This better out-of-sample performance of 1/𝑁 strategy relative to Markowitz’s rule is also investigated and supported by Jobson and Korkie (1980), Michaud (2008) and Duchin and Levy (2009).”
• Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2015, methodology): “DeMiguel, Garlappi, and Uppal (2009), Duchin and Levy (2009), and Jacobs, Muller, and Weber (2014) compare the performance of equal-weighted portfolios to a number of optimized portfolios, and find that the naive (1/N) diversification rule performs better than other strategies based on optimization;”
• How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies (2014, background): “…error is so severe that various optimization models are oftentimes unable to beat a naïve 1/N diversification strategy (e.g., DeMiguel et al., 2009b; Duchin and Levy, 2009; Tu and Zhou, 2009).1 Hence, it seems insufficient to limit the analysis to extensions of the Markowitz (1952) model.”