Is 1/N investment portfolio optimal under ambiguity?

Nan He and Tan Wang

Economics Letters, 2025, vol. 256, issue C

Abstract: This paper proposes a new criterion incorporating ambiguity into mean–variance analysis, and tests whether the 1/N portfolio is optimal under ambiguity across various datasets. Results indicate that the naive portfolio is not always optimal under ambiguity, despite often performing well out-of-sample.

Keywords: Ambiguity; Portfolio choice; Asset allocation (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:256:y:2025:i:c:s0165176525004616

DOI: 10.1016/j.econlet.2025.112624

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