Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Risk-based allocation"'
This research is conceptualized to provide a comprehensive understanding of the weight allocation mechanism of risk parity. The reader clearly understands why under the equal risk contribution constraint: 1) the asset allocation varies over time, 2)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1437::fc7d72ed32ff24c634313d2bb972ad46
https://hdl.handle.net/10362/144690
https://hdl.handle.net/10362/144690
Autor:
Pires, Lucas Campos
Publikováno v:
Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGV
Fundação Getulio Vargas (FGV)
instacron:FGV
Esse trabalho propõe uma metodologia para gestão de portfólio em que os ativos são alocados em termos de contribuição de risco – orçamento de risco. Ao contrário do framework tradicional, nenhuma estimativa de retorno dos ativos é necessá
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3056::0b5585f9433974add5aa7afae492e7c7
Autor:
David Ardia, Kris Boudt
We propose to compute the implied expected returns from several candidate mean-variance efficient portfolios, exploiting the fundamental relation between the expected returns, covariance matrix and the corresponding set of mean-variance efficient por
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::c97d118c182794f709c2f7228d8a57b5
http://www.cirpee.org/fileadmin/documents/Cahiers_2013/CIRPEE13-28.pdf
http://www.cirpee.org/fileadmin/documents/Cahiers_2013/CIRPEE13-28.pdf
Autor:
Thierry Roncalli, Benjamin Bruder
The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is therefore as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3907e709f17d9f1b1cecb60f813c935f
https://mpra.ub.uni-muenchen.de/37246/1/MPRA_paper_37246.pdf
https://mpra.ub.uni-muenchen.de/37246/1/MPRA_paper_37246.pdf