This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Diversification across time means changing the asset allocation from one period to another. We show that diversification across time is inferior to a portfolio with the same average asset allocation, held constant over time: it leads to a lower geometric mean, implying that in the long-run it...