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

Author

Listed:
  • David Ardia
  • Kris Boudt
  • Giang Nguyen

Abstract

Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-based portfolios.

Suggested Citation

  • David Ardia & Kris Boudt & Giang Nguyen, 2018. "Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation," ULB Institutional Repository 2013/286494, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/286494
    Note: SCOPUS: ar.j
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    Cited by:

    1. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    2. Vaughn Gambeta & Roy Kwon, 2020. "Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization," JRFM, MDPI, vol. 13(10), pages 1-28, October.
    3. Fays, Boris & Papageorgiou, Nicolas & Lambert, Marie, 2021. "Risk optimizations on basis portfolios: The role of sorting," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 136-163.

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