Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)
33 Pages Posted: 11 Jan 2016 Last revised: 14 Aug 2016
Date Written: January 10, 2016
Abstract
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.
Keywords: Risk parity, tree graph, cluster, dendogram, linkage, metric space
JEL Classification: G0, G1, G2, G15, G24, E44
Suggested Citation: Suggested Citation
López de Prado, Marcos, Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides) (January 10, 2016). Available at SSRN: https://ssrn.com/abstract=2713516 or http://dx.doi.org/10.2139/ssrn.2713516
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