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The Case for Long-Only Agnostic Allocation Portfolios

Author

Listed:
  • Pierre-Alain Reigneron
  • Vincent Nguyen
  • Stefano Ciliberti
  • Philip Seager
  • Jean-Philippe Bouchaud

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.

Suggested Citation

  • Pierre-Alain Reigneron & Vincent Nguyen & Stefano Ciliberti & Philip Seager & Jean-Philippe Bouchaud, 2019. "The Case for Long-Only Agnostic Allocation Portfolios," Papers 1906.05187, arXiv.org.
    • Handle: RePEc:arx:papers:1906.05187
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    File URL: http://arxiv.org/pdf/1906.05187
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    Cited by:

    1. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Papers 2104.00668, arXiv.org, revised Oct 2021.
    2. Christian Bongiorno & Damien Challet, 2020. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Papers 2001.11214, arXiv.org.
    3. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Post-Print hal-03378915, HAL.

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