Diversification is one of the major components of investment decision-making under risk or uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept remains misunderstood. Our goal in writing this paper is to correct this issue by reviewing the concept in portfolio theory. The core of our review focuses on the following diversification principles: law of large numbers , correlation , capital asset pricing model and risk contribution or risk parity diversification principles. These four diversification principles are the DNA of the existing portfolio selection rules and asset pricing theories and are instrumental to the understanding of diversification in portfolio theory. We review their definition. We also review their optimality, with respect to expected utility theory, and their usefulness. Finally, we explore their measurement.

中文翻译：

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多元化和投资组合理论：回顾

多元化是风险或不确定性下投资决策的主要组成部分之一。然而，矛盾的是，正如 2007-2009 年金融危机所揭示的那样，这个概念仍然被误解。我们撰写本文的目的是通过回顾投资组合理论中的概念来纠正这个问题。我们审查的核心集中在以下分散化原则上：大数定律、相关性、资本资产定价模型和风险贡献或风险平价分散化原则。这四个多元化原则是现有投资组合选择规则和资产定价理论的 DNA，有助于理解投资组合理论中的多元化。我们回顾了他们的定义。我们还回顾了它们在预期效用理论方面的最优性及其有用性。最后，