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Solutions to the Asset Allocation Problem by Informed Respondents: The Significance of the Size-of-Bet and the 1/N Heuristic
2006
Social Science Research Network
Asset allocation is a classic topic in the theory of finance, and a crucial issue for investment policy. Noted for its significance in driving pension fund performance, it is also an issue that individual investors consider when designing their investment portfolios. In theory, Markowitz and those following in his wake have an optimal solution. In practice, however, we demonstrate that when asked to allocate financial assets to a set of asset classes arrayed in order of their riskiness (from
doi:10.2139/ssrn.909521
fatcat:ymqeepwgyzf6vgqr6bqar2ks2a