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Article Dans Une Revue Annals of Finance Année : 2015

Diversified minimum-variance portfolios

Guillaume Coqueret

Résumé

We build on a one parameter family of weighting schemes arising from L2 -constrained portfolio optimization problems. The parameter allows to fine tune the trade-off between the volatility and the diversification of the portfolio. We propose two criteria in order to determine two unique portfolios: the first criterion requires that no weights be negative while the second one imposes a target diversification which is median between full concentration and full diversification. Both portfolios are empirically compared to classical benchmarks. The first one behaves very much like other popular Long-Only weighting schemes while the second displays a more aggressive profile, while generating moderate turnover. We also discuss implementation issues, as well as estimation related problems.
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hal-02312223 , version 1 (11-10-2019)

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  • HAL Id : hal-02312223 , version 1

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Guillaume Coqueret. Diversified minimum-variance portfolios. Annals of Finance, 2015, 11 (2), 221-241 p. ⟨hal-02312223⟩

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