, 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 of the portfolio's risk into risk factor contributions. First, we expose the relationship … between risk factor and asset contributions. Secondly, we formulate the diversification problem in terms of risk factors as an …

managing risk concentration rather than portfolio performance, and is therefore seen as being closer to passive management than …

risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk …

risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk …

similar to a minimum variance portfolio subject to a diversification constraint on the weights of its components. We derive … considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversification …

similar to a minimum variance portfolio subject to a diversification constraint on the weights of its components. We derive … considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversification …

portfolios are generally concentrated in a few stocks and present some lack of diversification. In order to avoid this drawback … risk-based indexation focuses on risk and diversification criteria. This paper describes risk-based indexation …