In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual...

An endowment fund serves as a permanent source of capital to support a specific mission. It has, in the case of a university, dual goals of providing current financial support to the university and preserving long-term purchasing power to ensure that support continues in perpetuity. This article...

In this paper, the authors construct a pipeline to benchmark Hierarchical Risk Parity (HRP) relative to Equal Risk Contribution (ERC) as examples of diversification strategies allocating to liquid multi-asset futures markets with dynamic leverage ("volatility target"). The authors use...

How many stocks are required to reduce unsystematic risk significantly is an important question for investors. While there is a large body of research on the subject in the United States, there is little formal work on this question in India. We show that a 15-20 stock portfolio, the traditional...

This paper investigates the link between economic state and investment levels in an economy within the premise of a partial equilibrium econometric setup based on the central philosophies of production-based asset pricing model and economic tracking portfolio models. By employing a simple linear...

This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing...

Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models can be set up to determine the optimal index replicating portfolio. In this paper, we propose an alternative based on imposing a constraint on the q-norm, 0 q 1, of the...

The EU Directive 2004/8/EC concerning the promotion of cogeneration established principles on how EU member states can support combined heat and power generation (CHP). Up to now the implementation of these principles into national law has not been uniform and led to the adoption of different...

The Integrated Energy and Climate Protection Program of the German government includes the political target to double the share of combined heat and power generation (CHP) in Germany from currently about 12% to 25% in 2020. In order to reach this goal a new CHP law was enacted to improve the...

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a conservative portfolio several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came up, that is...