When Will Mean-Variance Efficient Portfolios be Well Diversified?
刻画了有效组合对单个资产赋予小权重的条件，指出样本有效组合的极端权重源于股票收益中单一因子的主导地位，并解释了分散化策略的局限性。
We characterize the conditions under which efficient portfolios put small weights on individual assets. These conditions bound mean returns with measures of average absolute covariability between assets. The bounds clarify the relationship between linear asset pricing models and well-diversified efficient portfolios. We argue that the extreme weightings in sample efficient portfolios are due to the dominance of a single factor in equity returns. This makes it easy to diversify on subsets to reduce residual risk, while weighting the subsets to reduce factor risk simultaneously. The latter involves taking extreme positions. This behavior seems unlikely to be attributable to sampling error.