Title: Improving the naive portfolio strategy
Authors: Chulwoo Han - Durham University (United Kingdom) [presenting]
Abstract: Four approaches are considered to improve the naive strategy, being one of which newly proposed. The new approach attempts to minimize the difference from a reference portfolio while satisfying risk and return targets. Other well-known strategies such as variance minimization are also compared. Empirical results show that the new approach consistently outperforms the naive strategy. However, the best performance comes from the minimum variance portfolios. It is also worth noting that optimal strategies appear to perform well for factor portfolios, which implies careful construction of asset universe could have a large impact on portfolio optimization performance.