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  • Search: subject:"risk-based allocation"
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Year of publication
Subject
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risk-based allocation 2 Implied expected return 1 Risk budgeting 1 alternative indexation 1 concentration 1 diversification 1 equal risk contribution 1 mean-variance 1 model selection 1 portfolio allocation 1 reverse engineering 1 risk management 1 risk parity 1 strategic asset allocation 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
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Ardia, David 1 Boudt, Kris 1 Bruder, Benjamin 1 Roncalli, Thierry 1
Institution
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Cahiers de recherche 1 MPRA Paper 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
Ardia, David; Boudt, Kris - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
We propose to compute the implied expected returns from several candidate mean-variance efficient portfolios, exploiting the fundamental relation between the expected returns, covariance matrix and the corresponding set of mean-variance efficient portfolios. Over the 1987-2012 period and for the...
Persistent link: https://www.econbiz.de/10010693195
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Cover Image
Managing risk exposures using the risk budgeting approach
Bruder, Benjamin; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2012
applications of risk budgeting techniques for risk-based allocation, like risk parity funds and strategic asset allocation, and …
Persistent link: https://www.econbiz.de/10009654211
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