Teiletche, Jérôme; Roncalli, Thierry; Maillard, Sébastien - Université Paris-Dauphine (Paris IX) - 2010
robust. In this paper, we consider a related approach, where the risk contribution from each portfolio components is made … equal, which maximizes diversication of risk (at least on an ex-ante basis). Roughly speaking,the resulting portfolio is … similar to a minimum variance portfolio subject to a diversification constraint on the weights of its components. We derive …