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DeMiguel et al. - Optimal Versus Naive Diversification

• Title: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

• Authors: Victor DeMiguel; Lorenzo Garlappi; Raman Uppal

• Publication: Review of Financial Studies

• Year: 2009

• Volume: 22

• Issue: 5

• Pages: 1915-1953

• DOI: 10.1093/rfs/hhm075

• Document type: Published journal article

• Main field: Portfolio choice; empirical asset allocation; estimation error

• The paper in one sentence: The paper shows that many optimized portfolio rules fail to beat 1/N out of sample because estimation error overwhelms the theoretical gains from optimization.

• Tags: 1/N portfolio, naive diversification, mean-variance optimization, estimation error, Sharpe ratio, certainty equivalent, turnover, portfolio constraints, minimum variance, out-of-sample tests

Benveniste et al. - Untangling Universality and Dispelling Myths in MVO

• Title: Untangling Universality and Dispelling Myths in Mean-Variance Optimization

• Authors: Jerome Benveniste; Petter N. Kolm; Gordon Ritter

• Publication: Journal of Portfolio Management, special issue dedicated to Harry Markowitz

• Document type: Published journal article

• Main field: Portfolio theory; mean-variance optimization; expected utility

• The paper in one sentence: The paper argues that MVO is much broader than Gaussian/quadratic-utility folklore, characterizes distributions where expected-utility and MVO optima coincide, and reframes common MVO criticisms as input and implementation problems.

• Tags: mean-variance optimization, expected utility, mean-variance equivalence, elliptical distributions, asymmetric returns, factor risk models, sample covariance, 1/N portfolio, mean-quadratic variation

Kolm et al. - 60 Years of Portfolio Optimization

• Title: 60 Years of Portfolio Optimization: Practical Challenges and Current Trends

• Authors: Petter N. Kolm; Reha Tutuncu; Frank J. Fabozzi

• Publication: European Journal of Operational Research

• Year: 2014

• Volume: 234

• Pages: 356-371

• DOI: 10.1016/j.ejor.2013.10.060

• Document type: Published journal article / survey

• Main field: Portfolio optimization; quantitative asset management

• The paper in one sentence: A practitioner map of how to make Markowitz optimization usable by adding costs, constraints, robust inputs, alpha structure, and dynamic rebalancing

• Tags: mean-variance optimization, portfolio construction, transaction costs, constraints, estimation error, Black-Litterman, robust optimization, risk parity, multi-period optimization.

Zhang and Zhou - Large Language Models for Asset Pricing

• Title: Large Language Models for Asset Pricing: Learning from Earnings Calls

• Authors: Yizhong Zhang; Guofu Zhou

• Date: 2026-05

• Document type: Working paper / draft

• Main field: Empirical asset pricing; machine learning; textual analysis

• The paper in one sentence: The paper uses point-in-time LLM embeddings of earnings calls to isolate a text-explained announcement-return signal, EARAI, that predicts future fundamentals and delivers strong long-short returns.

• Tags: large language models, ChronoGPT, earnings calls, text embeddings, EARAI, post-earnings announcement drift, analyst expectations, characteristics, asset pricing.

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