A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps”

Ravi Jagannathan, Tongshu Ma and Jiaqi Zhang

Journal of Finance, 2019, vol. 74, issue 5, 2689-2696

Abstract: This note corrects an error in the proof of Proposition 2 of “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps” that appeared in the Journal of Finance, August 2003.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:74:y:2019:i:5:p:2689-2696

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