186 citations · 227 across the 4 of their papers we have counts for
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q-fin.PM2016
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…
q-fin.GN2016
Tail protection for long investors: Trend convexity at work
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble +3
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it…