Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European Journal of Operational Research 228 (2013) 3, pp. 556-570
Portfolio risk can be decomposed into two parts, the systematic risk and the nonsystematic risk. It is well known that the nonsystematic risk can be eliminated by diversification, while the systematic risk cannot. Thus, the portfolio risk, except for that of undiversified small portfolios, is...
