Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular … 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 …

; these products are more likely to provide the expected risk exposure investors desire. Also this paper performs two mean …

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk … parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights … unconstrained mean-risk portfolio and a risk parity (or risk budgeted in general) portfolio. We also demonstrate in a Bayesian …

attention in recent years. Unlike Principal Component Analysis (PCA) style of methods, balanced baskets spread risk or exposure …

account the risk on the sponsor's guarantee, and we show that in presence of sponsor risk, optimal strategies incorporate a … Indemnity Assurance, a non-redundant asset and contract, reduces the risk-shifting incentives from each party to the pension …

Our paper reexamines the methodology of Fama and French (1993) for creating US empirical risk factors, and proposes an …&F) methodology that could be easily implemented on other markets, and that could also easily price other risk fundamentals. We raise …, alternative premiums for the size, book-to-market and momentum risk fundamentals. We compare these three risk premiums to the Fama …

entrepreneurs are financially conservative based on borrowing and savings questions but are more likely to assume risk for financial … opportunities through transparent tax, legal, and regulatory systems. Efforts to reduce entrepreneurial risk should focus on the …

the end of June 2009. Since hedge funds have been marketed to investors as risk diversifiers in addition to being return …

portfolio returns on market returns to measure risk produces risk measures that are not credible. Institutional investors … alternative approach to measuring risk directly which explicitly addresses the staleness of reported values for venture capital … portfolio returns to market returns. Examples for venture capital and buyout portfolios show that the true risk measures are …