Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation

Maria Debora Braga, Consuelo Rubina Nava and Maria Zoia

Finance Research Letters, 2023, vol. 54, issue C

Abstract: Using a sample of international equity markets over the period 2001–2020, this paper aims to empirically investigate the implications in terms of asset allocation and the key properties of kurtosis-based strategies compared to the more traditional volatility-based strategies for financial portfolios construction. Furthermore, the contribution demonstrates that the portfolio recommended by the novel Kurtosis-based Risk Parity strategy introduced by Braga et al. (2023) admits to being interpreted as an intermediate portfolio between the Minimum-Kurtosis portfolio and the Equally Weighted portfolio in terms of the fourth root of the portfolio fourth moment.

Keywords: Kurtosis; Risk parity; Risk diversification; Asset allocation; Marginal risk (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708

DOI: 10.1016/j.frl.2023.103797

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