The Case for Long-Only Agnostic Allocation Portfolios
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.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2019
- DOI:
- 10.48550/arXiv.1906.05187
- arXiv:
- arXiv:1906.05187
- Bibcode:
- 2019arXiv190605187R
- Keywords:
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- Quantitative Finance - Portfolio Management
- E-Print:
- 20 pages, 6 figures