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Is there any recent paper on how many assets one should consider for portfolio optimization techniques?

I found:

https://www.jstor.org/stable/2330969?seq=1#metadata_info_tab_contents

https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1981.tb00646.x

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  • $\begingroup$ The expected Sharpe is bounded by number of assets, true effect size, and length of history. The math here suggests a small number of degrees of freedom (probably less than 10) in any portfolio optimizer, but it depends on sample size. $\endgroup$
    – shabbychef
    Nov 16 '21 at 18:17
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The first article on this was Fisher and Lorie "Some studies of variability of returns on investments in common stocks" JB April 1970. https://www.jstor.org/stable/2352105

The Statman article you quote "How many stocks make a diversified portfolio" is from 1987, it is still referenced and broadly agrees with the other.

A more recent article is Ronald Surz and Mitchell Price "Diversification by the Numbers" JOI 2000 which argues that more stocks may be needed than suggested by the earlier literature http://ppca-inc.com/Articles/DiversByNumbers.pdf

This is not a very active area of research AFAIK, I consider it a rather boring and settled issue.

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  • $\begingroup$ I just found out from a friend that a literature review article on this topic was just published, with a long bibliography. Zaimovic, Omanovich and Arnaut are the authors. mdpi.com/1911-8074/14/11/551/htm It may interest you if you are looking for additional articles $\endgroup$
    – noob2
    Dec 7 '21 at 20:04

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