General Proof that Diversification Pays**

Paul Samuelson

Journal of Financial and Quantitative Analysis, 1967, vol. 2, issue 1, 1-13

Abstract: “Don't put all your eggs in one basket,” is a familiar adage. Economists, such as Marschak, Markowitz, and Tobin, who work only with mean income and its variance, can give specific content to this rule—namely, putting a fixed total of wealth equally into independently, identically distributed investments will leave the mean gain unchanged and will minimize the variance.

Date: 1967
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