Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
“What if, instead of 0% leverage we considered fully-invested, long-short 130/30 portfolios, or even 150/50, given that prime brokers, fund regulators and investors have started to allow it?”
StrategyPortfolio optimizationlow-volatility anomaly
TechniqueClassical time series
GeographyGlobal
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
FamilyPortfolio optimization105Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 897
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