Kurtosis-based risk parity: methodology and portfolio effects
In this paper, a risk parity strategy based on portfolio kurtosis as reference measure is
introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an …
introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an …
Introducing expected returns into risk parity portfolios: A new framework for asset allocation
T Roncalli - Available at SSRN 2321309, 2014 - papers.ssrn.com
Risk parity is an allocation method used to build diversified portfolios that does not rely on
any assumptions of expected returns, thus placing risk management at the heart of the …
any assumptions of expected returns, thus placing risk management at the heart of the …
Risk minimization in multi-factor portfolios: What is the best strategy?
PJ Kremer, A Talmaciu, S Paterlini - Annals of Operations Research, 2018 - Springer
Exposures to risk factors, as opposed to individual securities or bonds, can lead to an ex-
ante improved risk management and a more transparent and cheaper way of developing …
ante improved risk management and a more transparent and cheaper way of developing …
Expected Shortfall asset allocation: A multi-dimensional risk-budgeting framework
E Jurczenko, J Teiletche - The Journal of Alternative …, 2019 - search.proquest.com
This article proposes a generalized expected shortfall risk-budgeting investing framework,
which offers a simple and flexible way to deal with various risks beyond volatility—namely …
which offers a simple and flexible way to deal with various risks beyond volatility—namely …
[图书][B] Active risk-based investing
E Jurczenko, J Teiletche - 2019 - papers.ssrn.com
Risk-based investment solutions are seen as incorporating no views. In this article, we
propose an analytical framework that allows the introduction of explicit active views on …
propose an analytical framework that allows the introduction of explicit active views on …
Introducing expected returns into risk parity portfolios: A new framework for tactical and strategic asset allocation
T Roncalli - 2013 - mpra.ub.uni-muenchen.de
Risk parity is an allocation method used to build diversified portfolios that does not rely on
any assumptions of expected returns, thus placing risk management at the heart of the …
any assumptions of expected returns, thus placing risk management at the heart of the …
Diversification and the realised volatility of equity portfolios
H du Plessis, P Van Rensburg - Investment Analysts Journal, 2017 - journals.co.za
In Markowitz's (1952) portfolio theory, a reduction in volatility for a given level of expected
return is implied as being equivalent to an increase in diversification. The recent …
return is implied as being equivalent to an increase in diversification. The recent …
Allocating Portfolio Tail Risk: Kurtosis-Based Factor Risk Parity
S Borovkova, C Bosch - Available at SSRN, 2024 - papers.ssrn.com
This paper introduces the Kurtosis-based Factor Risk Parity (KFRP) method as an
advancement in portfolio optimization. In contrast to conventional risk parity methods, KFRP …
advancement in portfolio optimization. In contrast to conventional risk parity methods, KFRP …
Portfolio allocation across variance risk premia
J Chevallier, DT Vo - The Journal of Risk Finance, 2019 - emerald.com
Purpose In asset management, what if clients want to purchase protection from risk factors,
under the form of variance risk premia. This paper aims to address this topic by developing a …
under the form of variance risk premia. This paper aims to address this topic by developing a …
The risky asymmetry of low bond yields
J Teiletche - Available at SSRN 4655522, 2015 - papers.ssrn.com
Bond returns have declined to levels that have rarely been seen in the past. In this paper,
beyond the implications of lower expected returns, we emphasise the increased risk of …
beyond the implications of lower expected returns, we emphasise the increased risk of …