IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v18y2018i8p1249-1259.html
   My bibliography  Save this article

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," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1249-1259, August.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:8:p:1249-1259
    DOI: 10.1080/14697688.2018.1424349
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2018.1424349
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2018.1424349?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:18:y:2018:i:8:p:1249-1259. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.