Risk Parity with Fractal Model of Risk
The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical patterns like crisis and the following recovery. The fractal rescaling and the fractal distribution of returns have been tested as the instrument for realistic estimation of risk. The proposed model allows for modifying a rule for volatility evolution, thus, enhancing its explanatory power. It turns out that the latter improves the performance metrics of an investment portfolio over the ten-year period. The advantage of cumulated return reaches 30% in comparison to naïve risk parity with comparable level of risk. The fractal model of volatility plays a significant protective role during the periods of market abnormal drawdowns
Year of publication: |
2017
|
---|---|
Authors: | Kamenshchikov, Sergey |
Other Persons: | Drozdov, Ilia (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Stochastischer Prozess | Stochastic process |
Saved in:
freely available
Extent: | 1 Online-Ressource (7 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 29, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2976430 [DOI] |
Classification: | G1 - General Financial Markets ; C6 - Mathematical Methods and Programming |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012955396
Saved in favorites
Similar items by subject
-
Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G., (2013)
-
Filtering Noise from Volatility (Portfolio Management, Risk Analysis, et al.)
Izmailov, Alexander, (2014)
-
A Worst-Case Risk Measure by G-VaR
Pei, Ziting, (2020)
- More ...
Similar items by person