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Article Dans Une Revue Annals of Finance Année : 2015

Diversified minimum-variance portfolios


We build on a one parameter family of weighting schemes arising from L2-constrained portfolio optimization problems. The parameter allows to fine tune the trade-off between the volatility and the diversification of the portfolio. We propose two criteria in order to determine two unique portfolios: the first criterion requires that no weights be negative while the second one imposes a target diversification which is median between full concentration and full diversification. Both portfolios are empirically compared to classical benchmarks. The first one behaves very much like other popular Long-Only weighting schemes while the second displays a more aggressive profile, while generating moderate turnover. We also discuss implementation issues, as well as estimation related problems.
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hal-02009587 , version 1 (06-02-2019)



Guillaume Coqueret. Diversified minimum-variance portfolios. Annals of Finance, 2015, 11 (2), pp.221-241. ⟨10.1007/s10436-014-0253-x⟩. ⟨hal-02009587⟩
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