According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How … assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for … to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to …

Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of … better method, we propose a new risk measure to be the base of risk capital allocation rule. Design/methodology/approach: We … proposed two kinds of allocation methods: one is marginal risk contribution based on iso-entropic coherent risk measure …

RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if … requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …

We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional … to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under … portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total …

We investigate portfolio diversification strategies based on hierarchical clustering. These hierarchical risk parity … strategies use graph theory and unsupervised machine learning to build diversified portfolios by acknowledging the hierarchical … structure of the investment universe. In this chapter, we consider two dissimilarity measures for clustering a multi-asset multi …

We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate … set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single …-valued) risk measures …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …