Teiletche, Jérôme; Roncalli, Thierry; Maillard, Sébastien - Université Paris-Dauphine (Paris IX) - 2010
Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers … similar to a minimum variance portfolio subject to a diversification constraint on the weights of its components. We derive … the theoretical properties of such a portfolio and show that its volatility is located between those of minimum variance …