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

Lopez de Prado, Marcos

doi:10.2139/ssrn.2713516

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

33 Pages Posted: 11 Jan 2016 Last revised: 14 Aug 2016

Marcos Lopez de Prado

Lawrence Berkeley National Laboratory; True Positive Technologies; RCC - Harvard University

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

Lopez 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