Abstract
Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-based portfolios
| Original language | English |
|---|---|
| Pages (from-to) | 1249-1259 |
| Number of pages | 11 |
| Journal | Quantitative Finance |
| Volume | 18 |
| Issue number | 8 |
| Early online date | 1 Mar 2018 |
| DOIs | |
| Publication status | Published - Aug 2018 |
Funding
This work was supported from the Research Foundation - Flanders (FWO [grant number G023815N]) and the Doctiris program of In-noviris. This work was supported from the Research Foundation - Flanders (FWO [grant number G023815N]) and the Doctiris program of Innoviris. The authors would like to thank the Editor, two anonymous referees, Guido Bolliger, Messaoud Chibane, William Doehler, Stefan Hartmann, Julie Marquis, Enrico Schumann, Marieke Vantomme as well as participants at the 2016 CFE conference, the IAF seminar in Neuchâtel, the AFFI 2017 conference, and the 2017 SoFiE Summer school for their helpful comments. Any remaining errors or shortcomings are the authors’ responsibility.
| Funders | Funder number |
|---|---|
| Doctiris program of In-noviris | |
| Doctiris program of Innoviris | |
| Fonds Wetenschappelijk Onderzoek | G023815N |
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