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The Case for Long-Only Agnostic Allocation Portfolios
- Publication Year :
- 2019
-
Abstract
- 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.<br />Comment: 20 pages, 6 figures
- Subjects :
- Quantitative Finance - Portfolio Management
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1906.05187
- Document Type :
- Working Paper