英文标题：
《Agnostic Risk Parity: Taming Known and Unknown-Unknowns》
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作者：
Raphael Benichou, Yves Lemp\\\'eri\\`ere, Emmanuel S\\\'eri\\\'e, Julien
Kockelkoren, Philip Seager, Jean-Philippe Bouchaud and Marc Potters
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最新提交年份：
2016
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英文摘要：
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 symmetry arguments only, leading to \"Eigenrisk Parity\" portfolios that achieve equal realized risk on all the principal components of the covariance matrix. This holds true for any other definition of uncorrelated factors. We then specialize our general formula to the most agnostic case where the indicators of future returns are assumed to be uncorrelated and of equal variance. This \"Agnostic Risk Parity\" (AGP) portfolio minimizes unknown-unknown risks generated by over-optimistic hedging of the different bets. AGP is shown to fare quite well when applied to standard technical strategies such as trend following.
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中文摘要：
马科维茨著名的最优投资组合理论通常无法实现样本外多元化。在本文中，我们提出了一种新的仅基于对称参数的投资组合构建策略，导致“特征风险平价”投资组合在协方差矩阵的所有主成分上实现了相等的已实现风险。这适用于任何其他不相关因素的定义。然后，我们将我们的一般公式专门用于最不可知的情况，即假设未来收益指标不相关且方差相等。这种“不可知风险平价”（AGP）投资组合最大限度地减少了因过度乐观地对冲不同赌注而产生的未知风险。AGP在应用于趋势跟踪等标准技术策略时表现良好。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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