Toward Maximum Diversification

By Yves Choueifaty, Yves Coignard. 2008

468 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Tristan Froidure
2. Julien Reynier
3. Yves Choueifaty

In Finance

1. Tristan Froidure
2. Julien Reynier
3. Thierry Roncalli
4. Guillaume Weisang
5. Yves Choueifaty

In Management Science and Operations Research

1. Tristan Froidure
2. Julien Reynier
3. Thierry Roncalli
4. Guillaume Weisang
5. Yves Choueifaty

Citations in the corpus

• ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “[10] Choueifaty, Y.”
• Asset Allocation with Conditional Value-at-Risk Budgets (2013, unknown): “Previous work by Chow and Kritzman (2001), Litterman (1996), Maillard et al.”
• Risk parity portfolios with risk factors (2016, background): “…(or ERC), risk budgeting or diversified risk parity strategies have become attractive to academics and practitioners alike (see e.g. Meucci 2007, Choueifaty and Coignard 2008, Meucci 2009, Maillard et al. 2010, Bruder and Roncalli 2012, Lohre et al. 2012) for they provide elegant and systematic…”
• Properties of the Most Diversified Portfolio (2013, methodology): “See also Hoffmann et al (2009) for further references.”
• A Survey of Alternative Equity Index Strategies (2011, unknown): “…negative Fama–French alphas, which suggests that they may be suboptimal portfolios for providing value and small-cap tilts.34 Fama–French factor portfolios are also difficult to invest in because they require shorting, experience high turnover at rebalancing, and contain many illiquid stocks.”