Paper Explorer
Interactive reproductions of the key findings from the portfolio sizing literature
1. Optimal Portfolio Size
Vanderveken, Lassance & Vrins (2024) — Optimal Portfolio Size under Parameter Uncertainty
Key finding: Optimal N ≈ N_sample / 2 — more assets ≠ better, estimation risk dominates signal
2. Optimal Granularity
Branger, Lucivjanska & Weissensteiner (2019) — Optimal Granularity for Portfolio Choice
Key finding: Group assets into 5-10 equally-weighted clusters — 30-50% reduction in estimation error vs full MV
3. Risk Budgeting Portfolios
da Costa, Pesenti & Targino (2023) — Risk Budgeting Portfolios
Key finding: Equal risk contribution reduces concentration vs equal-weight by ~40% — no expected returns needed
4. LTCM Sizing Failure
US Treasury (1999) — Lessons from the LTCM Failure
Key finding: 43× leverage + >5% concentration + correlation regime shift = terminal risk
5. ML-Based Risk Allocation
Nature Scientific Reports (2025) — LSTM Vol Forecaster + Differential Risk Budgeting
Key finding: Sharpe 1.38 (55% over risk parity) with LSTM vol forecaster + regime-switching
6. Varying Investor Abilities
James & Menzies (2023) — Portfolio Diversification with Varying Investor Abilities
Key finding: Skilled investors concentrate (N=5-10); unskilled diversify (N=20+)