Complex Modern Portfolio Theory

Oliver Hellum, Theis I. Jensen, Bryan T. Kelly and Semyon Malamud

No 35246, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The literature has long wrestled with the practical usefulness of Modern Portfolio Theory (MPT), and extensive evidence shows its performance decreases rapidly with the number of assets (N ). We present several new and counterintuitive facts about MPT. Most importantly, the performance of MPT in fact increases with N once the number of assets exceeds the number of training observations (T ). This finding holds in a variety of settings: in conjunction with popular portfolio regularization methods, in a variety of asset universes, and when T is large or small.

JEL-codes: C49 G1 G11 (search for similar items in EconPapers)
Date: 2026-05
Note: AP
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w35246.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:35246

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w35246
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().