Kurtosis-Based vs Volatility-Based Asset Allocation Strategies : Do They Share the Same Properties? A First Empirical Investigation

Using a sample of international equity markets over the period 2001-2020, this paper aims to empirically investigate the implications in terms of asset allocation and the key properties of kurtosis-based strategies compared to the more traditional volatility-based strategies for financial portfolios construction. Furthermore, the contribution demonstrates that the portfolio recommended by the novel Kurtosis-based Risk Parity strategy introduced by [1] admits to being interpreted as an intermediate portfolio between the Minimum-Kurtosis portfolio and the Equally Weighted portfolio in terms of the fourth root of the portfolio fourth moment