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Optimal portfolios under a correlation constraint |
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| Authors: | C Bernard D Cornilly S Vanduffel |
| Institution: | 1. Department of Accounting, Law and Finance, Grenoble Ecole de Management, 12 Rue Pierre Sémart, 38000Grenoble, France.;2. Faculty of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium.;3. Faculty of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium.;4. Department of Mathematics, KU Leuven, Celestijnenlaan 200B, 3001Leuven, Belgium. |
| Abstract: | Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark |
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