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减轻资产配置中的估计风险:对角线模型与1 / N多样化

财务回顾。 七月15,2016

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最近的文献表明,最优资产配置模型难以始终如一地超越1 / N天真的多元化战略,这突出了估计风险问题。 我们提出了资产分配模型的二分类,基于模型使用的逆协方差矩阵的元素:仅对角线与全矩阵。 我们认为,使用有限信息(如波动性或特殊波动率)的简约对角线策略可能在合并有限信息同时降低估计风险之间提供良好的权衡。 通过1926-2012评估五组投资组合,我们发现与这些对角线策略相比,1 / N通常不是最优的。

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