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Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions · Study

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PreprintRisk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Romain Deguest2013

OA

Preprintgreen2013

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Romain Deguest · Lionel Martellini · Attilio Meucci

37 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1992Global Portfolio Optimization 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

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Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2355778

openalex_workW2133643199

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