The Case for Long-Only Agnostic Allocation Portfolios

Autor:	Reigneron, Pierre-Alain, Nguyen, Vincent, Ciliberti, Stefano, Seager, Philip, Bouchaud, Jean-Philippe
Rok vydání:	2019
Předmět:	Quantitative Finance - Portfolio Management
Druh dokumentu:	Working Paper
Popis:	We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a family of risk-based portfolios that are able to mitigate certain extreme features (excess concentration, high turnover, strong exposure to low-risk factors) of classical portfolio construction methods, while achieving similar performance. AAPs thus represent a very attractive alternative risk-based portfolio construction framework that can be implemented in different situations, with or without an active trading signal. Comment: 20 pages, 6 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1906.05187 Zobrazit plný text záznamu View this record from Arxiv