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

David Ardia, Kris Boudt and Giang Nguyen

Quantitative Finance, 2018, vol. 18, issue 8, 1249-1259

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

Date: 2018
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DOI: 10.1080/14697688.2018.1424349

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