Update LITERATURE.md

Author: microprediction

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@@ -7,6 +7,20 @@ In no particular order. The scope is robust diversified portfolios and things th
 Or file an [issue](https://github.com/microprediction/precise/issues).  
 
 
+## Agnostic Risk Parity Taming Known and Unknown-Unknowns [pdf](https://arxiv.org/pdf/1610.08818)
+Raphael Benichou, Yves Lempérière, Emmanuel Sérié, Julien Kockelkoren, Philip Seager, Jean-Philippe Bouchaud & Marc Potters
+
+Markowitz’ celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only, leading
+to “Eigenrisk Parity” portfolios that achieve equal realized risk on all
+the principal components of the covariance matrix. This holds true
+for any other definition of uncorrelated factors. We then specialize our
+general formula to the most agnostic case where the indicators of future
+returns are assumed to be uncorrelated and of equal variance. This
+“Agnostic Risk Parity” (AGP) portfolio minimizes unknown-unknown
+risks generated by over-optimistic hedging of the different bets. AGP is
+shown to fare quite well when applied to standard technical strategies
+such as trend following
+
 ## OPTIMAL DATA SPLITTING FOR HOLDOUT CROSS-VALIDATION IN LARGE COVARIANCE MATRIX ESTIMATION [arxiv](https://arxiv.org/pdf/2503.15186)
 Lamia Lamrani, Christian Bongiorno, Marc Potters