A unified framework for risk-based investing

Jurczenko, Emmanuel (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Thierry, Michel (Lombard Odier, 8 Rue Royale, 75008 Paris, France) ; Teiletche, Jérôme (Unigestion, 8c Avenue de Champel, 1211 Genève, Switzerland;)

Risk-based portfolio strategies, such as minimum variance, maximum diversification, equal weight and risk parity, to name the most famous, have become increasingly popular in the investment industry. This paper aims to help investors better understand the commonalities and differences between these strategies.We offer a general unifying analytical framework, allowing the discussion of key distinctive features such as capital concentration, market beta, volatility, sensitivity to risk parameters, preference for low-volatility assets, turnover or tracking error, while not being dependent on a specific sample. We confirm the validity of these theoretical results by an empirical investigation of a large sample of international developed equity markets over the period 2002–12.


Mots-clés:
Type d'article:
scientifique
Faculté:
Economie et Services
Ecole:
EHL Ecole hôtelière de Lausanne
Classification:
Économie/gestion
Date:
2015
Publié dans
Journal of Investments Strategies
Numérotation (vol. no.):
October 2015, vol. 4, no. 4, pp. 1-29
ISSN:
2047-1238
Le document apparaît dans:

Note Le statut de cette notice est : non diffusé

Note: The status of this file is: restricted


 Notice créée le 2016-04-02, modifiée le 2018-08-31

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