The Case for Long-Only Agnostic Allocation Portfolios
Portfolio Management
2019-06-13 v1
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.
Cite
@article{arxiv.1906.05187,
title = {The Case for Long-Only Agnostic Allocation Portfolios},
author = {Pierre-Alain Reigneron and Vincent Nguyen and Stefano Ciliberti and Philip Seager and Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:1906.05187},
year = {2019}
}
Comments
20 pages, 6 figures