Référence

Sylvain Chassang (Princeton University), « Mostly Prior-Free Asset Allocation », Paul Woolley Research Initiative Seminar, IDEI, 5 décembre 2016, 12h30–14h00, salle MF 323.

Résumé

This paper develops a prior-free version of Markowitz (1952)'s efficient portfolio theory that allows the decision maker to express preferences over risk and reward, even though she is unable to express a prior over potentially non-stationary returns. The corresponding optimal allocation strategies are admissible, interior, and exhibit a form of momentum. Empirically, prior-free efficient allocation strategies successfully exploit time-varying risk premium present in historical returns.

Partenaire de recherche