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Table 3 The Table presents the portfolio weights attained by maximizing conservative portfolio values calculated as distorted expectations of portfolio returns for two portfolio selections

From: Zero covariation returns

Portfolio weights
  Long only Constrained short
XLB 0.3894 0.4552
XLE 0.0000 0.0250
XLF 0.0000 0.0250
XLI 0.0000 0.0250
XLK 0.0001 0.0250
XLP 0.3268 0.3809
XLU 0.0001 0.0250
XLV 0.0000 0.0250
XLY 0.2085 0.2391
SPX 0.0751 0.0748
  1. The first is constrained to be long only while the second has a maximum short position of 2.5%