/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and … simple quantitative risk based portfolio management that improves the risk-adjusted portfolio returns across various asset … classes. This approach, based on the conclusions of Brandolini D. – Colucci S. 'Backtesting Value-at-Risk: A comparison …

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk … measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the … specification and estimation uncertainty. We propose a general adjustment of the Value-at-Risk to compute risk measures robust to …

This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a … index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in …

Existence of underestimation bias on risk for optimized portfolio is well known to quantitative fund managers who … construct their portfolio from optimizer (mathematical software) by using multi factor risk model. There are some reasons for … underestimation of portfolio risk. One of the reasons of underestimation lays in sampling bias of covariance matrix of factor returns …

multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the … required risk capital …

Analytic solutions to Risk Parity, Maximum Diversification, and Minimum Variance portfolios provide useful perspectives … about their construction and composition. Individual asset weights depend on both systematic and idiosyncratic risk in all … three risk-based portfolios, but systematic risk eliminates many investable assets in long-only constrained Maximum …

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to … estimate the models and evaluate tail risk measures for the portfolio's profit-and-loss distribution for long and short … portfolios show the importance of heavy tails and positive asymmetry in the distribution of energy risk factors. Thus, tail risk …

. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the … uncorrelated risk sources embedded in the underlying portfolio assets. Our paper characterizes the mechanics and properties of this … diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk …