Granularity Adjustment for Efficient Portfolios
研究大型投资组合中非系统性风险的部分分散化效应，推导了朴素分散和有效均值方差投资组合的粒度调整公式，并分析了卖空限制下的夏普比率表现。
This article considers large portfolios of assets submitted to both systematic and unsystematic (or idiosyncratic) risks. The idiosyncratic risks can be fully diversified if the portfolio size is infinite, but only partly diversified otherwise. The granularity adjustment measures the effect of partly diversifying idiosyncratic risks. We derive the granularity adjustments for a portfolio with naive diversification and for the efficient mean-variance portfolio allocation. We consider in particular the Sharpe performances, with and without short-sale restrictions and we highlight the effect of concentration risk.