Contrary to basic finance principles, high-beta and high-volatility stocks have long
underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by …

Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Minimum variance and equally-weighted portfolios have recently prompted great interest
both from academic researchers and market practitioners, as their construction does not rely …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

The performance of equity portfolios optimized to have the lowest possible variance has
attracted investor attention over the last several years. Minimum-variance strategies address …

In this paper, we conduct a horse race between representative Risk Parity portfolios and
other asset allocation strategies, including equal weighting, minimum-variance, mean …

Previous research has shown that equally weighted portfolios outperform optimized
portfolios, which suggests that optimization adds no value in the absence of informed inputs …

This article expands upon “Toward Maximum Diversification” by Choueifaty and Coignard
[2008]. We present new mathematical properties of the Diversification Ratio and Most …

In recent years, we have witnessed an alarmingly large and growing amount of literature on
portfolio construction approaches focused on risks and diversification rather than on …

The literature on portfolio selection and risk measurement has considerably advanced in
recent years. The aim of the present paper is to trace the development of the literature and …