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

David Ardia, Kris Boudt and Giang Nguyen

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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

Date: 2018-08
Note: SCOPUS: ar.j
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Citations: View citations in EconPapers (4)

Published in: Quantitative finance (2018) v.18 n° 8,p.1249-1259

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Journal Article: Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (2018)
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