A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps”

A-Tier
Journal: Journal of Finance
Year: 2019
Volume: 74
Issue: 5
Pages: 2689-2696

Authors (3)

RAVI JAGANNATHAN (Northwestern University) TONGSHU MA (not in RePEc) JIAQI ZHANG (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Abstract

This note corrects an error in the proof of Proposition 2 of “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps” that appeared in the Journal of Finance, August 2003.

Technical Details

RePEc Handle
repec:bla:jfinan:v:74:y:2019:i:5:p:2689-2696
Journal Field
Finance
Author Count
3
Added to Database
2026-01-25