Risk-based allocation strategies, also known as Smart Beta allocation, 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...

In this article we extend the research on risk-based asset allocation strategies by exploring how using an SRI universe impacts the properties of risk-based portfolios. We focus on four risk-based asset allocation strategies: the Equally Weighted (EW), the Most Diversified Portfolio (MDP), the...

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...

French Abstract: Cette étude fait une synthèse d'une sélection de recherches publiées dans le domaine de la responsabilité sociale des entreprises afin de proposer aux praticiens de l'évaluation financière une décote-surcote du coût moyen pondéré du capital (CMPC) en fonction de la...

In this study we investigate the question of financial performance of Socially Responsible Investment (ISR) funds using BNP Paribas Investment Partners (BNPP IP) Best-In-Class (BIC) universe of European stocks. We originally contribute to the literature by developing analyses enlightened by...