Active risk-based investing

Jurczenko, Emmanuel (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Teiletche, Jérôme (Unigestion (Switzerland))

Risk-based investment solutions are seen as incorporating no views. In this article, we propose an analytical framework that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a Black-Litterman approach, we derive closed-form formulas for the weights of the active risk-based portfolio, and identify their main determinants. We discuss implementation aspects and show how our framework is related to other popular active investing methodologies. We illustrate the methodology with a multi-asset portfolio allocation problem using views based on macroeconomic regimes over the period 1974-2013.


Keywords:
Conference Type:
full paper
Faculty:
Economie et Services
School:
EHL
Subject(s):
Economie/gestion
Publisher:
London, United Kingdom, 12-14 December 2015
Date:
London, United Kingdom
12-14 December 2015
2015
Pagination:
37 p.
Published in:
Proceedings of the 9th International conference on Computational and Financial Econometrics (CFE) 2015
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2016-11-07, last modified 2019-06-11

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