The case for long-only agnostic allocation portfolios

12 June 2019

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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.

Authors

Pierre-Alain Reigneron , Stefano Ciliberti , Philip Seager , Jean-Philippe Bouchaud , Vincent Nguyen

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