Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10008652158
Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular, 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...
Persistent link: https://www.econbiz.de/10013100035
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10013081193
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
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 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 strategy. This explains why risk parity became a popular investment model after the global financial crisis in...
Persistent link: https://www.econbiz.de/10013063057
Persistent link: https://www.econbiz.de/10014249455
Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years. It considerably changes portfolio...
Persistent link: https://www.econbiz.de/10013309456
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 therefore assumed to be more robust. In 2011, it has...
Persistent link: https://www.econbiz.de/10013110298