popular advice. Finally, I show that it is only at the investment horizon that the BSR is independent of risk aversion. …

sources of asset specific risk alongside market risk. This is critical in real estate portfolio management because such … specific risk is usually difficult to diversify. …

Risk-based allocation strategies, also known as Smart Beta allocations, define the weights of assets in portfolios as … functions of the individual and common asset risk. In this paper we focus on the Minimum Variance (MV), Maximum Diversification … (MD), Equal Risk Contribution (ERC) and Equal-Weight (EW) risk-based allocation strategies. The popularity of risk …

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at … the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is … variance, ERC and risk parity strategies in portfolios of several large institutional investors. These portfolio constructions …

In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan …

into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose … an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads … follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We …

resulting risk measures cannot be transformed into cash-additive risk measures by a change of numéraire. However, extending the … default-free bonds may be unrealistic. We focus on finiteness and continuity properties of these general risk measures. As an … application, we discuss capital requirements based on Value-at-Risk and Tail-Value-at-Risk acceptability, the two most important …