Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Risk reduction and Diversification within Markowitz's Mean-Variance
  Model: Theoretical Revisit   The conventional wisdom of mean-variance (MV) portfolio theory asserts that
the nature of the relationship between risk and diversification is a decreasing
asymptotic function, with the asymptote approximating the level of portfolio
systematic risk or undiversifiable risk. This literature assumes that investors
hold an equally-weighted or a MV portfolio and quantify portfolio
diversification using portfolio size. However, the equally-weighted portfolio
and portfolio size are MV optimal if and only if asset returns distribution is
exchangeable or investors have no useful information about asset expected
return and risk. Moreover, the whole of literature, absolutely all of it,
focuses only on risky assets, ignoring the role of the risk free asset in the
efficient diversification. Therefore, it becomes interesting and important to
answer this question: how valid is this conventional wisdom when investors have
full information about asset expected return and risk and asset returns
distribution is not exchangeable in both the case where the risk free rate is
available or not? Unfortunately, this question have never been addressed in the
current literature. This paper fills the gap.

11
The categories of this paper are: hep-lat
2
The categories of this paper are: math
16
The categories of this paper are: stat
15
The categories of this paper are: nucl-ex
9
The categories of this paper are: nlin
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
27
The categories of this paper are: comp-gas
6
The categories of this paper are: astro-ph
13
The categories of this paper are: quant-ph
28
The categories of this paper are: alg-geom
12
The categories of this paper are: nucl-th
34
The categories of this paper are: chem-ph
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph
8
The categories of this paper are: hep-ex