Nathan Lassance
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View article: The distribution of sample mean-variance portfolio weights
The distribution of sample mean-variance portfolio weights Open
We present a simple stochastic representation for the joint distribution of sample estimates of three scalar parameters and two vectors of portfolio weights that characterize the minimum-variance frontier. This stochastic representation is…
View article: On the Combination of Naive and Mean-Variance Portfolio Strategies
On the Combination of Naive and Mean-Variance Portfolio Strategies Open
We study how to best combine the sample mean-variance portfolio with the naive equally weighted portfolio to optimize out-of-sample performance. We show that the seemingly natural convexity constraint—the two combination coefficients must …
View article: Optimal Portfolio Diversification via Independent Component Analysis
Optimal Portfolio Diversification via Independent Component Analysis Open
A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk meas…