, the trade-off between performance and volatility contributions creates some difficulty, while the risk budgeting problem … must be clearly defined. After deriving the theoretical properties of such risk budgeting portfolios, we apply this new …

, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between …

Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular …

are special cases of a more general class of allocation models, known as the risk budgeting approach. In a risk budgeting …. Unfortunately, even if risk budgeting techniques are widely used by market practitioners, they are few results about the behavior of … such portfolios in the academic literature. In this paper, we derive the theoretical properties of the risk budgeting …

indexation is based on GDP indexation whereas risk-based indexation uses a risk budgeting approach based on our sovereign credit … risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk … budgeting approach is the most appropriate scheme to manage sovereign credit risk in bond portfolios and gives very appealing …

indexation is based on GDP indexation whereas risk-based indexation uses a risk budgeting approach based on our sovereign credit … risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk … budgeting approach is the most appropriate scheme to manage sovereign credit risk in bond portfolios and gives very appealing …

considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversification …

considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversification …