Note—Naive Diversification and Portfolio Risk—A Note
推导了投资组合标准差与规模之间的精确参数关系，指出使用标准差结合普通最小二乘回归来建模朴素分散化风险降低优势的危险，并表明过去采用该方法的实证研究存在缺陷。
A number of authors have used the portfolio standard deviation to model the risk reduction advantages of naive diversification. Other authors have pointed out that when risk is modelled by the portfolio's variance the modelling process becomes much simpler and is computationally more efficient. In this note we derive an exact parametric relationship between portfolio standard deviation and size and thus highlight the dangers of using the standard deviation in conjunction with O.L.S. regression techniques to model the risk reduction advantages of naive diversification. It is then shown that past empirical studies which have used this methodology are deficient.