Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper provides a solution to the portfolio diversification problem based on finding optimal weights that will result in maximizing the risk adjusted return of the underlying portfolio subject to the budget constraint contrary to the standard approach that aims at finding the required weights based on minimizing the variance of the portfolio subject to the budget constraint. A mathematical proof is given for the suggested solution. An application is provided to the portfolio diversification opportunity between all the share market indexes of the two largest economies in the world. The results show that the portfolio created by our suggested approach leads to almost one percent increase in the risk adjusted return compared to the portfolio created by the standard method.