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I am missing tools to investigate this issue. I am trying to solve this question here. What kind of issues should you acknowledge over the naive diversification/rebalancing with normal distribution? You could have a different return distribution curve so does the distribution affect the benefits? If you know how to investigate this kind of problems, please, let me know -- I am unsure whether this runs over the properties of MVO.

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...btw from simple time-serie standpoint, autocorrelation and partial autocorrelation decay pretty fast (after sufficient diversification etc) -- how to account this kind of thing? As far as I have understood, the financial time-series are not really naive realization of certain theoretical models such as SARIMA, rather dynamic (even a bit artistic) and my feeling is that to really "solve" this kind of problems would require quite amount of research, well there must be some papers on this -- investigating. – hhh Dec 8 '11 at 8:54

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