Geometric insights into robust portfolio construction
The study argues that the equally weighted portfolio is inferior to the mean-variance portfolio, extending the result of an alpha-weight angle from unconstrained quadratic portfolio optimisations having an upper bound dependent on the covariance matrix's condition number.
Featured in No. 77 on 4 Dec 2024 · · 0 citations today · published in International Journal of Theoretical and Applied Finance
- Released
- 13 Jul 2021
- First featured
- No. 77 · 4 Dec 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- International Journal of Theoretical and Applied Finance
- Shares when featured
- 16
- Identifier
- doi:10.1142/S0219024924500249
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).