Medo, Matús; Yeung, Chi Ho; Zhang, Yi-Cheng - In: International Review of Financial Analysis 18 (2009) 1-2, pp. 34-39
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity--the effective portfolio size--is proposed and investigated in both artificial and real situations. We show that in most cases, the...