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摘要翻译：
当资产相关时，分散投资的效益降低。为了衡量相关性对投资绩效的影响，本文提出了一个新的量--有效投资组合规模，并在人工和实际情况下进行了研究。我们表明，在大多数情况下，有效投资组合规模远小于投资组合中的实际资产数量，而且在金融危机期间，有效投资组合规模甚至会进一步下降。
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英文标题：
《How to quantify the influence of correlations on investment
diversification》
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作者：
Matus Medo, Chi Ho Yeung, Yi-Cheng Zhang
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it lowers even further during financial crises.
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PDF链接：
https://arxiv.org/pdf/0805.3397
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