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The Optimal Tradeoff Between Diversification and Outperformance May 26, 2021 Warren Buffet once said that, “diversification is protection against ignorance”. Of course, the other side is true as well: strategies that aren’t adequately diversified run a substantially higher risk of ruin. The goal of this paper is to find a useful approximation for portfolio size that a. increases the potential for alpha (return over benchmark) at a constraint of b. minimal beta (volatility relative to be...