I am currently dealing with the Maximum Diversification Strategy and I am trying to understand the synthetic universe approach from Choueifaty et al.(https://www.tobam.fr/wp-content/uploads/2014/12/TOBAM-JoPM-Maximum-Div-2008.pdf)
Specifically I would like to know if you guys think that it is still mathematically correct to omit the risk free asset (since other investment strategies which I am comparing it to, don't have the possibility to invest in a risk free asset) and rescale the portfolio weights at the end of the optimaziation simply to 1, without changing his fundamental approach?
Best regards