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

Lassance, NathanBoufflette, LouisLouisBoufflette2025-02-042025-02-042024https://dial-mem.test.bib.ucl.ac.be/handle/123456789/39050This 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.Portfolio optimizationout-of-sample performanceportfolio strategyMean-Variance portfolioTwo fund ruleHow many assets to optimize out-of-sample performance?text::thesis::master thesisthesis:44545