英文标题：
《The Case for Long-Only Agnostic Allocation Portfolios》
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作者：
Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti, Philip
Seager, Jean-Philippe Bouchaud
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最新提交年份：
2019
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英文摘要：
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a family of risk-based portfolios that are able to mitigate certain extreme features (excess concentration, high turnover, strong exposure to low-risk factors) of classical portfolio construction methods, while achieving similar performance. AAPs thus represent a very attractive alternative risk-based portfolio construction framework that can be implemented in different situations, with or without an active trading signal.
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中文摘要：
我们提倡使用不可知分配来构建只做多的股票投资组合。我们表明，不可知分配投资组合（AAP）是一系列基于风险的投资组合中的特殊成员，能够缓解经典投资组合构建方法的某些极端特征（过度集中、高周转率、对低风险因素的强烈暴露），同时实现类似的性能。因此，AAP代表了一个非常有吸引力的基于风险的投资组合构建框架，可以在不同的情况下实施，无论是否有活跃的交易信号。
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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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