Simon Hayley’s research while affiliated with London Business School and other places

... Since the long-term geometric growth rate on an asset is approximated by g =  − 0.5 2 , where  is the mean annual return and  is the annualized return volatility, the reduction in portfolio risk that accompanies diversification should result in improved long-term growth. Indeed, several studies have noted the existence of a "diversification return" (Cuthbertson et al., 2016;Booth and Fama, 1992;Willenbrock, 2011;Erb and Harvey, 2006;Bouchey et al., 2012), and because of this, Feld (1999) suggests that many investors might be better off selling appreciated 2 These market return assumptions are the same as those used in Whitworth (2018) and are generally consistent with the 2024 Long-Term Capital Market Assumptions of J.P. Morgan, which are available at shares and taking the capital gains tax hit rather than dealing with the higher volatility inherent in an overly concentrated portfolio. In a simplified analysis of an investor who is fully concentrated in a single appreciated stock, Stein et al. (2000) find that "near-complete diversification" into a lower-volatility portfolio is preferable, "despite a high initial tax cost." ...

Reference:

Should Investors Defer Long-Term Gains in Taxable Stock Portfolios?

... During crisis periods, where fluctuations in the stock market dominate, it is imperative for a manager to be capable of altering the structure of his/her portfolio, making it more (less) aggressive prior to market upswings (downturns) in order to maximize (minimize) profits (losses). Considering the prementioned, studies (Treynor and Mazuy, 1966;Henriksson, 1984;Chang and Lewellen, 1984;Sinclair, 1990;Daniel et al., 1997;Jiang, 2003;Cuthbertson et al., 2010Cuthbertson et al., , 2016 concur to a great extent that managers exhibit some stock selection skills, but they fail in general to time the market adequately. The aforementioned studies use monthly or annual observations. ...

Reference:

Can mutual fund managers predict security prices to beat the market? The case of Greece during the debt crisis

... Recently, the DR was derived by Maseso and Martellini [21] from the stochastic portfolio theory under the name of excess growth rate. The concept of DR as well as its relationships to other diversification concepts have been extensively discussed in finance literature, see [10,17,27,4,7,23,20] and the references therein. In particular, the extensive empirical results reported in [21] shows that maximizing DR of a portfolio may lead to strong out-of-sample performance and hence results in competitive strategy in portfolio construction in certain market conditions. ...

Reference:

An Optimization Study of Diversification Return Portfolios