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Showing 1 to 1 of 1 for “"Sharpe-like measure"”.
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An Empirical Investigation of Portfolios with Little Idiosyncratic Risk
… the research question. The first approach is to measure the rate of risk reduction as diversification increases. For the first approach, I identify two kinds of risks: (1) risk that portfolio returns vary across time (Evans and Archer (1968), and Campbell et al. (2001)); and (2) risk that returns …