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Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors
Meucci, Attilio - 2015
We measure the contributions to risk of a set of factors, strategies, or investments, based on "Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. We then introduce a novel definition of contributions to risk, which...
Persistent link: https://www.econbiz.de/10013035509
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Benefits and Risks of Alternative Investment Strategies
Vaissié, Mathieu; Amenc, Noël; Martellini, Lionel - Université Paris-Dauphine (Paris IX) - 2003
Persistent link: https://www.econbiz.de/10011073624
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Diversifying the diversifiers and tracking the tracking error : outperforming cap-weighted indices with limited risk of underperformance
Amenc, Noël; Goltz, Felix; Lodh, Ashish; Martellini, Lionel - In: The journal of portfolio management : a publication of … 38 (2012) 3, pp. 72-88
Persistent link: https://www.econbiz.de/10009669654
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In diversification we trust?
Amenc, Noël; Martellini, Lionel - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 1-2
Persistent link: https://www.econbiz.de/10009520335