Egozcue, Martín; García, Luis Fuentes; Wong, Wing-Keung; … - In: European Journal of Operational Research 215 (2011) 1, pp. 188-193
We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined...