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Optimal portfolios under a correlation constraint

Author

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  • C. Bernard
  • D. Cornilly
  • S. Vanduffel

Abstract

Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark

Suggested Citation

  • C. Bernard & D. Cornilly & S. Vanduffel, 2018. "Optimal portfolios under a correlation constraint," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 333-345, March.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:3:p:333-345
    DOI: 10.1080/14697688.2017.1377843
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    Cited by:

    1. Aditya Maheshwari & Traian A. Pirvu, 2020. "Portfolio Optimization under Correlation Constraint," Risks, MDPI, vol. 8(1), pages 1-18, February.
    2. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    3. Aditya Maheshwari & Traian Pirvu, 2019. "Portfolio Optimization under Correlation Constraint," Papers 1912.12521, arXiv.org.
    4. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
    5. Silvana Pesenti & Sebastian Jaimungal, 2020. "Portfolio Optimisation within a Wasserstein Ball," Papers 2012.04500, arXiv.org, revised Jun 2022.

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