Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation-Reference-Cited by-同舟云学术

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Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation

Published:2018-03 Issue:8 Volume:18 Page:1249-1259
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ardia David¹²,Boudt Kris³⁴⁵,Nguyen Giang³⁵

Affiliation:

1. Institute of Financial Analysis, University of Neuchâtel , Neuchâtel, Switzerland.

2. Department of Finance, Insurance and Real Estate, Laval University , Québec, Canada.

3. Solvay Business School, Vrije Universiteit Brussel , Brussels, Belgium.

4. School of Business and Economics, Vrije Universiteit Amsterdam , Amsterdam, Netherlands.

5. Quantitative Strategies, Finvex , Brussels, Belgium.

Funder

Fonds Wetenschappelijk Onderzoek

FWO

Doctiris program of Innoviris

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1424349

Reference16 articles.

1. Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy

2. Least-squares approach to risk parity in portfolio selection

3. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

4. Asset allocation with conditional value-at-risk budgets

5. Estimation and decomposition of downside risk for portfolios with non-normal returns

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk optimizations on basis portfolios: The role of sorting;Journal of Empirical Finance;2021-09

2. A meta-measure of performance related to both investors and investments characteristics;Annals of Operations Research;2021-08-12

3. Reduction of estimation error impact in the risk parity strategies;Quantitative Finance;2021-03-23

4. Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization;Journal of Risk and Financial Management;2020-10-04

5. Multi-period Downside Risk Attribution of Observation-driven Investment Strategies;SSRN Electronic Journal;2018

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