Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market

A number of portfolio strategies followed by practitioners aredominated because they are incompletely diversified over time.The payoff distribution pricing model is used to compute thecost of following undiversified strategies. Simple numericalexamples illustrate the technique, and computer-generated examplesprovide realistic estimates of the cost of some typical policies,using reasonable parameter values. The cost can be substantialand should not be ignored by practitioners. A section on generalizationsmodels and other general models of returns.