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Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Mean-Variance portfolios are optimal in-sample, however they tend to perform poorly out-of-sample (even worse than the 1/N naïve portfolio!) We introduce a new portfolio construction method that substantially improves the Out-Of-Sample performance of diversified portfolios.The full paper is available at: 'http://ssrn.com/abstract=2708678' http://ssrn.com/abstract=2708678
Year of publication:
2016
Authors: Lopez de Prado, Marcos
Publisher: [2016]: [S.l.] : SSRN
Subject: Portfolio-Management | Portfolio selection
freely available
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