SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION
Bibliographic record
Abstract
The constant correlation model is a mean-variance portfolio selection model where, for a given set of risky securities, the correlation of returns between any pair of different securities is considered to be the same. Support for the model is from previous empirical evidence that sample averages of correlations outperform various more sophisticated models in forecasting the correlation matrix, an important input component for portfolio analysis. To enable a better understanding of the constant correlation model, this study identifies some additional analytical properties of the model and relates them to familiar portfolio concepts. By comparing computational times for portfolio construction with and without simplifying the correlation matrix in a simulation study, this study also confirms the model's computational advantage. This study is intended to provide further analytical support for the model as a viable, simple alternative to those portfolio selection models where input requirements and the attendant computations are more burdensome.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.004 | 0.026 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.002 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.004 |
| Open science | 0.002 | 0.001 |
| Research integrity | 0.002 | 0.003 |
| Insufficient payload (model declined to judge) | 0.014 | 0.002 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".