Suboptimal riks placement based on inverse volatility weighting

Detalhes bibliográficos
Autor(a) principal: Cintra, Roberto Barbosa
Data de Publicação: 2017
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/34836
Resumo: Using volatility as the risk measure for portfolio’s risk, a very simple asset allocation approach is presented so that risk is equally split into all portfolio’s components without optimization.
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spelling Cintra, Roberto BarbosaEscolas::EESP2024-02-07T16:28:46Z2024-02-07T16:28:46Z2017-0712https://hdl.handle.net/10438/34836Using volatility as the risk measure for portfolio’s risk, a very simple asset allocation approach is presented so that risk is equally split into all portfolio’s components without optimization.engCentro de Estudos em Processos de Investimento (FGV Invest)GV Invest; 12VolatilityRiskAsset allocationRisk-parityFinançasVolatilidade (Finanças)Alocação de ativosInvestimentos - AdministraçãoSuboptimal riks placement based on inverse volatility weightinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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dc.title.eng.fl_str_mv Suboptimal riks placement based on inverse volatility weighting
title Suboptimal riks placement based on inverse volatility weighting
spellingShingle Suboptimal riks placement based on inverse volatility weighting
Cintra, Roberto Barbosa
Volatility
Risk
Asset allocation
Risk-parity
Finanças
Volatilidade (Finanças)
Alocação de ativos
Investimentos - Administração
title_short Suboptimal riks placement based on inverse volatility weighting
title_full Suboptimal riks placement based on inverse volatility weighting
title_fullStr Suboptimal riks placement based on inverse volatility weighting
title_full_unstemmed Suboptimal riks placement based on inverse volatility weighting
title_sort Suboptimal riks placement based on inverse volatility weighting
author Cintra, Roberto Barbosa
author_facet Cintra, Roberto Barbosa
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Cintra, Roberto Barbosa
dc.subject.eng.fl_str_mv Volatility
Risk
Asset allocation
Risk-parity
topic Volatility
Risk
Asset allocation
Risk-parity
Finanças
Volatilidade (Finanças)
Alocação de ativos
Investimentos - Administração
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Volatilidade (Finanças)
Alocação de ativos
Investimentos - Administração
description Using volatility as the risk measure for portfolio’s risk, a very simple asset allocation approach is presented so that risk is equally split into all portfolio’s components without optimization.
publishDate 2017
dc.date.issued.fl_str_mv 2017-07
dc.date.accessioned.fl_str_mv 2024-02-07T16:28:46Z
dc.date.available.fl_str_mv 2024-02-07T16:28:46Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/34836
dc.identifier.sici.none.fl_str_mv 12
identifier_str_mv 12
url https://hdl.handle.net/10438/34836
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv GV Invest; 12
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Centro de Estudos em Processos de Investimento (FGV Invest)
publisher.none.fl_str_mv Centro de Estudos em Processos de Investimento (FGV Invest)
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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