On the Combination of Naive and Mean-Variance Portfolio Strategies
朴素等权与均值—方差投资组合策略的组合
We study how to best combine the sample mean-variance portfolio with the naive equally weighted portfolio to optimize out-of-sample performance. We show that the seemingly natural convexity constraint—the two combination coefficients must sum to one—is undesirable because it severely constrains the allocation to the risk-free asset relative to the unconstrained portfolio combination. However, we demonstrate that relaxing the convexity constraint inflates estimation errors in…