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Probability, Uncertainty and Quantitative Risk

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%
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