Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
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چکیده
منابع مشابه
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Green and Hollifield (1992) argue that the presence of a dominant factor is why we observe extreme negative weights in mean-variance-efficient portfolios constructed using sample moments. In that case imposing no-shortsale constraints should hurt whereas empirical evidence is often to the contrary. We reconcile this apparent contradiction. We explain why constraining portfolio weights to be non...
متن کاملRisk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single dominant factor in the covariance matrix of returns is why we observe extreme positive and negative weights....
متن کاملRisk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints1
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single dominant factor in the covariance matrix of returns is why we observe extreme positive and negative weights....
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Rodolfo Carvajal H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, [email protected] Miguel Constantino Centro de Investigação Operacional, Lisboa, Portugal, [email protected] Marcos Goycoolea Escuela de Negocios, Universidad Adolfo Ibáñez, Santiago, Chile, [email protected] Juan Pablo Vielma Business Analytics ...
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Rodolfo Carvajal H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332; Escuela de Negocios, Universidad Adolfo Ibáñez, Santiago, Chile, [email protected] Miguel Constantino Centro de Investigação Operacional, Faculdade de Ciências da Universidade de Lisboa, [email protected] Marcos Goycoolea Escuela de Negocios, Universid...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2003
ISSN: 0022-1082
DOI: 10.1111/1540-6261.00580