Jagannathan is from the Kellogg School of Management at Northwestern University and the National Bureau of Economic Research and Ma is from the David Eccles School of Business at the University of Utah. We thank Torben Andersen, Gopal Basak, Louis Chan, Gregory Connor, Kent Daniel, Bernard Dumas, Ludger Hentschel, Philippe Henrotte, Ioulia Ioffe, Olivier Ledoit, Ludan Liu, Andrew Lo, Jesper Lund, Robert McDonald, Steve Ross, Jay Shanken, and seminar participants at Copenhagen Business School, HEC, INSEAD, MIT, Norwegian School of Management, Hong Kong University of Science and Technology, University of Rochester, University of Illinois at Urbana-Champaign, University of Utah, and the 2002 AFA meeting in Atlanta, and especially the referees, the editor, Rick Green, and Wayne Ferson for helpful comments. We are responsible for any errors or omissions.
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Version of Record online: 15 JUL 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 4, pages 1651–1683, August 2003
How to Cite
Jagannathan, R. and Ma, T. (2003), Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. The Journal of Finance, 58: 1651–1683. doi: 10.1111/1540-6261.00580
- Issue online: 15 JUL 2003
- Version of Record online: 15 JUL 2003
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