Testing the performance of the risk budgeting asset allocation strategy in the Brazilian market context

• Autor(a) principal: Guimarães, Lucas Santos Andrade
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/140496
• topic: Risk management; Financial markets; Asset allocation; Risk budgeting; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Risk-based strategies to portfolio selection have become popular among researchers and practitioners in developed markets, as they provide reasonable returns without requiring the estimation of expected returns for its calculations. However, few studies verify these strategies’ performance in an emerging market context. This article tests the performance of the risk budgeting allocation strategy in the Brazilian market. The results of the strategy are then compared against the weight budgeting and minimum variance approaches. The findings suggest that the strategy’s result is consistent with existing literature that the risk budgeting strategy provides an intermediary solution between its weight budgeting equivalent and the minimum variance portfolio.