Hyung, Namwon; Vries, Casper G. de - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1162-1175
An investor concerned with the downside risk of a black swan only needs a small portfolio to reap the benefits from diversification. This matches actual portfolio sizes, but does contrast with received wisdom from mean–variance analysis and intuition regarding fat tailed distributed returns....