Similar Search Results

How the Risk Measures Play Important Roles for Tail Risk Management and Diversification

Higashide, Takuo - 2019

In the world of investment, the subject of building a portfolio concerning tail risk is still one of the frequently discussed subjects and unquestionably vital for investors. This paper seeks to examine how the risk measures, lower tail-dependence based on the copulas approach and Conditional...

Persistent link: https://www.econbiz.de/10012889418

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Albanese, Claudio - 2016

for idiosyncratic features such as granularity and credit risk concentration, iv) measures also other risks besides the …

Persistent link: https://www.econbiz.de/10012997056

Risk Parity with Flexible Views

Medvedev, Alexey - 2015

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...

Persistent link: https://www.econbiz.de/10013030805

Risk Parity Portfolios with Skewness Risk : An Application to Factor Investing and Alternative Risk Premia

Bruder, Benjamin - 2016

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness...

Persistent link: https://www.econbiz.de/10012986357

Risk-Based Indexation

Demey, Paul - 2011

portfolios are generally concentrated in a few stocks and present some lack of diversification. In order to avoid this drawback … risk-based indexation focuses on risk and diversification criteria. This paper describes risk-based indexation …

Persistent link: https://www.econbiz.de/10013133707

Managing Sovereign Credit Risk in Bond Portfolios

Bruder, Benjamin - 2012

risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk …

Persistent link: https://www.econbiz.de/10013113594

Risk Parity Portfolios with Risk Factors

Roncalli, Thierry - 2012

, diversification has spawn much interest and has been defined very differently. In this paper, we analyze a method to achieve portfolio … diversification based on the decomposition of the portfolio's risk into risk factor contributions. First, we expose the relationship … between risk factor and asset contributions. Secondly, we formulate the diversification problem in terms of risk factors as an …

Persistent link: https://www.econbiz.de/10013100035

Generalized Risk-Based Investing

Jurczenko, Emmanuel - 2013

Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity …

Persistent link: https://www.econbiz.de/10013088063

Portfolio Allocation with Skewness Risk : A Practical Guide

Lezmi, Edmond - 2019

In this article, we show how to take into account skewness risk in portfolio allocation. Until recently, this issue has been seen as a purely statistical problem, since skewness corresponds to the third statistical moment of a probability distribution. However, in finance, the concept of...

Persistent link: https://www.econbiz.de/10012898975

The Properties of Alpha Risk Parity Portfolios

Gava, Jerome; Turc, Julien - 2022

Risk parity is an approach to investing that aims to balance risk evenly across assets within a given universe. The aim of this study is to unify the most commonly-used approaches to risk parity within a single framework. Links between these approaches have been identified in published...

Persistent link: https://www.econbiz.de/10014236841