diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation … multiple strategies offers sizable diversification benefits. Our rule leverages these benefits and compares favorably to eleven …