This is deceptively simple question. The answer goes to the heart of risk and portfolio management. Will not give a quantitative answer because it depends too much on details, but the general thrust of the argument: There are two competing factors. The one calls for larger number of baskets, the other for smaller numbers.
- Measurable risks or known unknowns call for large number of baskets
- Measurement uncertainty of unknown unknowns call for a small number of baskets