Author

Peng Liu

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Review Sep 2026

Portfolio Diversification and Concentration under Dependence Uncertainty: A Majorization Approach

Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal. This paper investigates the tension between portfolio diversification and concentration under dependence uncertainty. In the absence of model uncert...

Peng Liu, Yang Liu · 0 citations