banx comments on Open thread, Dec. 15 - Dec. 21, 2014 - Less Wrong
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Isn't it the case that most investment opportunities have essentially the same expected returns, due to market efficiency? In that case you want to diversify, since you can lower the variance without lowering the expected return. But if you can identify a single giving opportunity that has a significantly higher expected return than the alternatives, then it seems like you'd want to concentrate on that one opportunity.