Morningstar：2024你的股票投资组合应该考虑你的职业生涯吗白皮书（英文版）

We incorporate nontradable wealth, such as firm-level human capital and restricted stock units, in a stock-level portfolio optimization and show that minimizing idiosyncratic risk at the total portfolio level leads to a significant improvement in out-of-sample portfolio efficiency. Based on data from 2013 to 2022, with a sample of 263 US firms, we find that total wealth optimizations significantly reduce idiosyncratic portfolio risk, resulting in significant improvements in risk-adjusted retu