How many assets to optimize out-of-sample performance?

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Supervisors: Lassance, Nathan
Faculty: Louvain School of Management
Degree label: Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract: This master’s thesis explores theories and papers to find the optimal number of assets in one’s portfolio and conducts empirical research to find the optimal number of assets that maximize out-of-sample performance. The research will focus on specific portfolio optimization strategies and use two different methods of choice for the asset selection, one being random and the other using specific criteria.